Optimal Trading Strategies for an Asset with Disordered Return

Finance;Trading Strategies;Disordered Return;Brownian Motion;Girsanov;Quantitative Finance

Pastor, Kyle

University of Waterloo

关键词: Finance;    Trading Strategies;    Disordered Return;    Brownian Motion;    Girsanov;    Quantitative Finance;   

Others  :  https://uwspace.uwaterloo.ca/bitstream/10012/9677/3/Pastor_Kyle.pdf

瑞士|英语

来源: UWSPACE Waterloo Institutional Repository

【 摘 要 】

We explore various trading strategies from a mathematical and practical perspective.Using a geometric Brownian motion with a disorder to model asset price bubbles, weapply this model to multiple periods and explore the trading strategies on real marketdata (S&P500, NASDAQ and SSE Composite). Wend that the mathematical modelis sucessful in predicting large market events such as the 2008 crisis, however fails togenerate gains over times of healthy market growth. Three practical models arealso presented and show that bene cial trading can be performed using some simpledeterministic assumptions. The mathematical and practical methods are compared.iv