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Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
2009
Stochastic Analysis and Applications
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This paper is concerned with a numerical method using stochastic approximation approach for an optimal trading (buy and sell) strategy. The underlying asset price is governed by a mean-reverting stochastic process. The objective is to buy and sell the asset so as to maximize an overall expected return. One of the advantageous of our approach is that the underlying asset is model free. Only mean reversion is required. Slippage cost is imposed on each transaction. Convergence of the algorithms is
doi:10.1080/07362990902844181
fatcat:2zrmboeplrdjfl52getwztirzq