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An Efficient Algorithm for the Optimal Market Timing over Two Stocks

An Efficient Algorithm for the Optimal Market Timing over Two Stocks 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

An Efficient Algorithm for the Optimal Market Timing over Two Stocks

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References (4)

Publisher
Springer Journals
Copyright
Copyright © 2004 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-004-0180-0
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Acta Mathematicae Applicatae Sinica – Springer Journals

Published: Jan 1, 2004

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