Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading
Article
Article Title | Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading |
---|---|
ERA Journal ID | 32362 |
Article Category | Article |
Authors | Taranto, Aldo (Author) and Khan, Shahjahan (Author) |
Journal Title | Journal of Mathematics and Statistics |
Journal Citation | 17 (1), pp. 22-29 |
Number of Pages | 8 |
Year | 2021 |
Publisher | Science Publications |
Place of Publication | United Arab Emirates |
ISSN | 1549-3644 |
1558-6359 | |
Digital Object Identifier (DOI) | https://doi.org/10.3844/jmssp.2021.22.29 |
Web Address (URL) | https://thescipub.com/abstract/jmssp.2021.22.29 |
Abstract | Bi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they drift further away from the time axis, then the greater the likelihood of stopping, as if by two hidden reflective barriers. The theory of BGCSP is applied to a trading environment in which long and short trading is available. The stochastic differential equation of the Grid Trading Problem (GTP) is proposed, proved and its solution is simulated to derive new findings that can lead to further research in this area and the reduction of risk in portfolio management. |
Keywords | Grid Trading Random Walks Probability of Ruin Stochastic Differential Equation, Bi-Directional Grids, Trending Grids, Mean Reversion Grids |
ANZSRC Field of Research 2020 | 490510. Stochastic analysis and modelling |
490106. Financial mathematics | |
490506. Probability theory | |
Byline Affiliations | School of Sciences |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q642v/application-of-bi-directional-grid-constrained-stochastic-processes-to-algorithmic-trading
Download files
477
total views303
total downloads1
views this month1
downloads this month