In this paper, the optimal trading strategy in timing the market by switching between two stocks is given. In order to deal with a large sample size with a fast turnaround computation time, we propose a class of recur...In this paper, the optimal trading strategy in timing the market by switching between two stocks is given. In order to deal with a large sample size with a fast turnaround computation time, we propose a class of recursive algorithm. A simulation is given to verify the effectiveness of our method.展开更多
基金Supported by the Research Fund for the Doctoral Program of Higher Education of China (Grant No.20020269003)
文摘In this paper, the optimal trading strategy in timing the market by switching between two stocks is given. In order to deal with a large sample size with a fast turnaround computation time, we propose a class of recursive algorithm. A simulation is given to verify the effectiveness of our method.
