Optimal Buy/Sell Rules for Correlated Random Walks
نویسندگان
چکیده
منابع مشابه
Optimal Buy/sell Rules for Correlated Random Walks
Correlated random walks provide an elementary model for processes that exhibit directional reinforcement behavior. This paper develops optimal multiple stopping strategies—buy/sell rules—for correlated random walks. The work extends previous results given in Allaart and Monticino (2001) by considering random step sizes and allowing possibly negative reinforcement of the walk’s current direction...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2008
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200003934