Optimal trading strategies for Itô diffusion processes

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 14, 2009, Pages 2865-2873

  Bertram, William K ^a  

^a Tribeca Investment Partners   (Australia)

Author keywords

Econophysics; First passage time; Stochastic processes

Indexed keywords

OPTIMAL SYSTEMS; PROFITABILITY; RANDOM PROCESSES; STOCHASTIC SYSTEMS;

DIFFUSION PROCESS; ECONOPHYSICSS; EXPECTED VALUES; FIRST PASSAGE TIME; OPTIMAL STRATEGIES; OPTIMAL TRADING STRATEGY; ORNSTEIN-UHLENBECK PROCESS;

COMMERCE;

EID: 67349161090     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.04.004     Document Type: Article

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