Price-bands: a Technical Tool for Stock Trading
نویسندگان
چکیده
Given a stochastic process with known finite dimensional distributions, we construct lower and upper bounds within which future values of the stochastic process run, at a fixed probability level. For a financial trading business, such set of bounds are called “price-bands” or “trading-bands” that can be used as an indicator for successfully buying or short-selling shares of stock. In this paper, we present a mathematical model for the novel construction of price-bands using a stochastic programming formulation. Numerical examples using recent US stock market intraday data are presented.
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تاریخ انتشار 2013