A Note on: Optimal Stopping of Trading Strategies Reza Habibi
Iran Banking Institute, Central Bank of Iran, Tehran, Iran.
eza Habibi, “A Note on: Optimal Stopping of Trading Strategies”, American Research Journal of Mathematics, Vol 7, no. 1, 2021, pp. 1-
Abstract
This paper is concerned with optimal time for enter or exit of a financial position such as sell or buying a specified stock. Throughout the current paper, it is assumed that the mean function of return process of asset (say stock) price is time varying. Indeed, first, considering the step function of Yao (1984), optimal trading strategies problem are studied using optimal stopping technique and dynamic programming solutions are proposed. Optimal stopping rules are presented and they are applied to two real data sets. Then, alternative ways for formulation of time varying mean functions are studied throughout the simulated examples. Finally, concluding remarks are proposed.
