论文标题
仿射反馈股票交易结果的概括以包括停止损失订单
Generalization of Affine Feedback Stock Trading Results to Include Stop-Loss Orders
论文作者
论文摘要
本文的起飞点是概括一类仿射反馈控制者的现有股票交易结果，以包括考虑停止损失订单。使用几何布朗运动作为基本股票价格模型，我们的主要结果是为累积分配功能提供封闭式表达式，以换取损益。此外，我们表明，具有停止损失顺序的仿射反馈控制器确实在分布功能意义上概括了结果而没有停止顺序。一些模拟和说明性示例还提供了该理论的支持证据。此外，我们提供了一些技术结果，旨在解决有关生存能力，现金融资考虑，长期财产以及预期损益的下限的问题。
The takeoff point of this paper is to generalize the existing stock trading results for a class of affine feedback controller to include consideration of a stop-loss order. Using the geometric Brownian motion as the underlying stock price model, our main result is to provide a closed-form expression for the cumulative distribution function for the trading profit or loss. In addition, we show that the affine feedback controller with stop-loss order indeed generalizes the result without stop order in the sense of distribution function. Some simulations and illustrative examples are also provided as supporting evidence of the theory. Moreover, we provide some technical results aimed at addressing the issues about survivability, cash-financing considerations, long-only property, and lower bound of the expected gain or loss.
