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Time optimal control for a nonholonomic system with state constraint
Stock trading rules under a switchable market
1. | Department of Mathematics, University of Georgia, Athens, GA 30602, United States, United States |
References:
[1] |
M. Dai, Q. Zhang and Q. Zhu, Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics, 1 (2010), 780-810.
doi: 10.1137/080742889. |
[2] |
T. C. Johnson and M. Zervos, A discretionary stopping problem with applications to the optimal timing of investment decisions, Working paper, (2011). |
[3] |
H. T. Kong, G. Yin and Q. Zhang, A trend following strategy: Conditions for optimality, Automatica J. IFAC, 47 (2011), 661-667.
doi: 10.1016/j.automatica.2011.01.039. |
[4] |
A. Løkka and M. Zervos, A model for the long-term optimal capacity level of an investment project, Working paper, (2011). |
[5] |
A. Merhi and M. Zervos, A model for reversible investment capacity expansion, SIAM Journal on Control and Optimization, 46 (2007), 839-876.
doi: 10.1137/050640758. |
[6] | |
[7] |
D. Nguyen, J. Tie and Q. Zhang, An optimal trading rule under switchable mean-reversion model, Journal of Optimization Theory and Applications, in press. |
[8] |
B. Øksendal, "Stochastic Differential Equations. An Introduction with Applications," Sixth edition, Universitext, Springer-Verlag, Berlin, 2003.
doi: 10.1007/978-3-642-14394-6. |
[9] |
W. J. O'Neil, "How to Make Money in Stocks," Second edition, McGraw Hill, Inc., New York, 1995. |
[10] |
J. Yu and Q. Zhang, Optimal trend-following trading rules under a three-state regime switching model, Mathematical Control and Related Fields, 2 (2012), 81-100.
doi: 10.3934/mcrf.2012.2.81. |
[11] |
H. Zhang and Q. Zhang, Trading a mean-reverting asset: Buy low and sell high, Automatica J. IFAC, 44 (2008), 1511-1518.
doi: 10.1016/j.automatica.2007.11.003. |
show all references
References:
[1] |
M. Dai, Q. Zhang and Q. Zhu, Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics, 1 (2010), 780-810.
doi: 10.1137/080742889. |
[2] |
T. C. Johnson and M. Zervos, A discretionary stopping problem with applications to the optimal timing of investment decisions, Working paper, (2011). |
[3] |
H. T. Kong, G. Yin and Q. Zhang, A trend following strategy: Conditions for optimality, Automatica J. IFAC, 47 (2011), 661-667.
doi: 10.1016/j.automatica.2011.01.039. |
[4] |
A. Løkka and M. Zervos, A model for the long-term optimal capacity level of an investment project, Working paper, (2011). |
[5] |
A. Merhi and M. Zervos, A model for reversible investment capacity expansion, SIAM Journal on Control and Optimization, 46 (2007), 839-876.
doi: 10.1137/050640758. |
[6] | |
[7] |
D. Nguyen, J. Tie and Q. Zhang, An optimal trading rule under switchable mean-reversion model, Journal of Optimization Theory and Applications, in press. |
[8] |
B. Øksendal, "Stochastic Differential Equations. An Introduction with Applications," Sixth edition, Universitext, Springer-Verlag, Berlin, 2003.
doi: 10.1007/978-3-642-14394-6. |
[9] |
W. J. O'Neil, "How to Make Money in Stocks," Second edition, McGraw Hill, Inc., New York, 1995. |
[10] |
J. Yu and Q. Zhang, Optimal trend-following trading rules under a three-state regime switching model, Mathematical Control and Related Fields, 2 (2012), 81-100.
doi: 10.3934/mcrf.2012.2.81. |
[11] |
H. Zhang and Q. Zhang, Trading a mean-reverting asset: Buy low and sell high, Automatica J. IFAC, 44 (2008), 1511-1518.
doi: 10.1016/j.automatica.2007.11.003. |
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