On an Upper Gain Bound for Strategies with Constant and Proportional Number of Assets Traded

• Autorzy: Rafał Łochowski
• Języki publikacji: EN

Abstrakty

EN

We introduce general formulas for the upper bound of gain obtained from any finite-time trading strategy in discrete and continuous time models. We consider strategies with constant number of assets traded and strategies with proportional number of assets traded. Unfortunately, the estimates obtained in the discrete case become trivial in the continuous case, hence we introduce transaction costs. This leads to the interesting estimates in terms of the so called truncated variation of the price series. We apply the obtained estimates in specific cases of financial time series. (original abstract)

Słowa kluczowe

EN

Trade; Transaction cost; Black-Scholes model

PL

Handel; Koszty transakcyjne; Model Blacka-Scholesa

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2013
• Tom: 14(XIV)
• Numer: nr 2
• Strony: 29--38

Twórcy

autor

Rafał Łochowski

• Szkoła Główna Handlowa w Warszawie; Prince Mohammad Bin Fahd University (Saudi Arabia)

Bibliografia

• Bednorz W., Łochowski R., (2012) Integrability and Concentration of Sample Paths' Truncated Variation, Bernoulli, accepted, preprint available on the journal web page.
• Ghomrasni R., Łochowski R., (2013) The Play Operator, the Truncated Variation and the Generalisation of the Jordan Decomposition, preprint arXiv:1311:6405, accepted for publication in Mathematical Methods in Applied Sciences.
• Łochowski R., (2010) On upper gain bound for trading strategy based on cointegration, Quantitative Methods in Economics 11, Tom I, str. 110-117.
• Łochowski R., (2011) Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift - their characteristics and their applications, Stochastic Processes and Their Applications 121, Tom II, str. 378-393.
• Łochowski R., (2013) On the Generalisation of the Hahn-Jordan Decomposition for Real Càdlàg Functions, Colloquium Mathematicum 132, Tom I, str. 121-138.
• Revuz D., Yor M., (2005) Continuous Martingales and Brownian Motion, Springer, Berlin.