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- W2489473640 abstract "This paper is concerned with a mean-reversion trading rule.In contrast to most market models treated in the literature,the underlying market is solely determined by a two-state Markov chain.The major advantage of such Markov chain modelis its striking simplicity and yet its capability of capturing variousmarket movements.The purpose of this paper is to study an optimal trading rule undersuch a model.The objective of the problem under considerationis to find a sequence stopping (buying and selling) timesso as to maximize an expected return.Under some suitable conditions, explicit solutionsto the associated HJ equations (variational inequalities) are obtained.The optimal stopping times are given in terms of a set of threshold levels.A verification theorem is provided to justify their optimality.Finally, a numerical example is provided to illustrate the results." @default.
- W2489473640 created "2016-08-23" @default.
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- W2489473640 date "2016-08-01" @default.
- W2489473640 modified "2023-10-16" @default.
- W2489473640 title "An optimal mean-reversion trading rule under a Markov chain model" @default.
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- W2489473640 doi "https://doi.org/10.3934/mcrf.2016012" @default.
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