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Ergodic Behavior of Returns in a Buy Low and Sell High Type Trading Strategy

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Hedvig Gál

    (Corvinus University of Budapest)

  • Attila Lovas

    (Alfréd Rényi Institute of Mathematics
    Budapest University of Technology and Economics)

Abstract

In algorithmic trading strategies aiming at “Buying Low and Selling High” a given asset is a recurrent topic for many practitioners and still pose challenges for researchers. We may ask, for example, what happens in the long run if we set price levels $$\underline{\theta }

Suggested Citation

  • Hedvig Gál & Attila Lovas, 2022. "Ergodic Behavior of Returns in a Buy Low and Sell High Type Trading Strategy," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 278-283, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_45
    DOI: 10.1007/978-3-030-99638-3_45
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