Economic Modeling for Optimal Trading of Financial Asset in Volatile Market

We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct simulation and empirical study to investigate the model performance. In comparison with other two alternative models, the empirical results show that the performance of our model is generally superior, particularly when the market turns to be extremely bullish or bearish

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Year of publication:	2016
Authors:	Sun, Edward
Other Persons:	Kruse, Timm (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Finanzmarkt \| Financial market \| Portfolio-Management \| Portfolio selection
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Bulletin, 33(3): 1788-1795, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2012 erstellt Volltext nicht verfügbar
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013006846