KMS Of Academy of mathematics and systems sciences, CAS
Trading a mean-reverting asset: Buy low and sell high | |
Zhang, Hanqin2,3; Zhang, Qing1 | |
2008-06-01 | |
发表期刊 | AUTOMATICA |
ISSN | 0005-1098 |
卷号 | 44期号:6页码:1511-1518 |
摘要 | This paper is concerned with an optimal trading (buy and sell) rule. The underlying asset price is governed by a mean-reverting model. The objective is to buy and sell the asset so as to maximize the overall return. Slippage cost is imposed on each transaction. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the original optimal stopping problem can be obtained by solving two quasi-algebraic equations. Sufficient conditions are given in the form of a verification theorem. A numerical example is reported to demonstrate the results. (c) 2008 Elsevier Ltd. All rights reserved. |
关键词 | optimal stopping quasi-variational inequalities mean-reverting process |
DOI | 10.1016/j.automatica.2007.11.003 |
语种 | 英语 |
WOS研究方向 | Automation & Control Systems ; Engineering |
WOS类目 | Automation & Control Systems ; Engineering, Electrical & Electronic |
WOS记录号 | WOS:000257003700007 |
出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/5581 |
专题 | 应用数学研究所 |
通讯作者 | Zhang, Qing |
作者单位 | 1.Univ Georgia, Dept Math, Athens, GA 30602 USA 2.Acad Sinica, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Res Operat Div, Beijing, Peoples R China |
推荐引用方式 GB/T 7714 | Zhang, Hanqin,Zhang, Qing. Trading a mean-reverting asset: Buy low and sell high[J]. AUTOMATICA,2008,44(6):1511-1518. |
APA | Zhang, Hanqin,&Zhang, Qing.(2008).Trading a mean-reverting asset: Buy low and sell high.AUTOMATICA,44(6),1511-1518. |
MLA | Zhang, Hanqin,et al."Trading a mean-reverting asset: Buy low and sell high".AUTOMATICA 44.6(2008):1511-1518. |
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