技术分析的数学分析

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2017-10-25 DOI:10.1080/1350486X.2019.1588136

Matthew J. Lorig, Zhou Zhou, B. Zou

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引用次数: 5

摘要

摘要本文研究了基于指数移动平均线(expma)的风险资产交易策略。我们研究了对数效用最大化和长期增长率最大化问题，并找到了当底层漂移由Ornstein-Uhlenbeck过程或两态连续时间马尔可夫链建模时的封闭形式解。对于Ornstein-Uhlenbeck漂移的情况，我们进行了几个蒙特卡罗实验，以研究最优ExpMA策略的性能如何受到模型参数变化和交易成本的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Mathematical Analysis of Technical Analysis

ABSTRACT In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form solutions when the drift of the underlying is modelled by either an Ornstein-Uhlenbeck process or a two-state continuous-time Markov chain. For the case of an Ornstein-Uhlenbeck drift, we carry out several Monte Carlo experiments in order to investigate how the performance of optimal ExpMA strategies is affected by variations in model parameters and by transaction costs.

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.