Bounds of Bi-Directional Grid Constrained Stochastic Processes in Mathematical Finance & Algorithmic Trading

Taranto, Aldo ORCID: https://orcid.org/0000-0001-6763-4997 and Khan, Shahjahan ORCID: https://orcid.org/0000-0002-0446-086X (2020) Bounds of Bi-Directional Grid Constrained Stochastic Processes in Mathematical Finance & Algorithmic Trading. In: Modern Stochastic Models and Problems of Actuarial Mathematics Conference (MAMMOTH 2020), 25 Sept 2020, Karshi, Uzbekistan.


Abstract

We introduce Bi-Directional Grid Constrained (BGC) stochastic processes in which the further it drifts away from the origin, then the further it will be constrained, and see it’s impact on the LIL.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Faculty/School / Institute/Centre: Current - Faculty of Health, Engineering and Sciences - School of Sciences (6 Sep 2019 -)
Faculty/School / Institute/Centre: Current - Faculty of Health, Engineering and Sciences - School of Sciences (6 Sep 2019 -)
Date Deposited: 21 Oct 2020 03:42
Last Modified: 27 Oct 2020 01:02
Uncontrolled Keywords: Ito Processes, Law of Iterated Logarithm (LIL), Bi-Directional Grid Constrained, (BGC) Stochastic Processes
Fields of Research (2008): 01 Mathematical Sciences > 0104 Statistics > 010406 Stochastic Analysis and Modelling
01 Mathematical Sciences > 0102 Applied Mathematics > 010205 Financial Mathematics
01 Mathematical Sciences > 0104 Statistics > 010404 Probability Theory
Fields of Research (2020): 49 MATHEMATICAL SCIENCES > 4905 Statistics > 490510 Stochastic analysis and modelling
49 MATHEMATICAL SCIENCES > 4901 Applied mathematics > 490106 Financial mathematics
49 MATHEMATICAL SCIENCES > 4905 Statistics > 490506 Probability theory
Socio-Economic Objectives (2008): E Expanding Knowledge > 97 Expanding Knowledge > 970108 Expanding Knowledge in the Information and Computing Sciences
E Expanding Knowledge > 97 Expanding Knowledge > 970114 Expanding Knowledge in Economics
E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
URI: http://eprints.usq.edu.au/id/eprint/39952

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