Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading

Taranto, Aldo ORCID: https://orcid.org/0000-0001-6763-4997 and Khan, Shahjahan ORCID: https://orcid.org/0000-0002-0446-086X (2021) Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading. Journal of Mathematics and Statistics, 17 (1). pp. 22-29. ISSN 1549-3644

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Abstract

Bi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they drift further away from the time axis, then the greater the likelihood of stopping, as if by two hidden reflective barriers. The theory of BGCSP is applied to a trading environment in which long and short trading is available. The stochastic differential equation of the Grid Trading Problem (GTP) is proposed, proved and its solution is simulated to derive new findings that can lead to further research in this area and the reduction of risk in portfolio management.


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Item Type: Article (Commonwealth Reporting Category C)
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: 10 Mar 2021 05:29
Last Modified: 12 Jul 2021 03:53
Uncontrolled Keywords: Grid Trading Random Walks Probability of Ruin Stochastic Differential Equation, Bi-Directional Grids, Trending Grids, Mean Reversion Grids
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
Socio-Economic Objectives (2020): 28 EXPANDING KNOWLEDGE > 2801 Expanding knowledge > 280115 Expanding knowledge in the information and computing sciences
28 EXPANDING KNOWLEDGE > 2801 Expanding knowledge > 280108 Expanding knowledge in economics
28 EXPANDING KNOWLEDGE > 2801 Expanding knowledge > 280118 Expanding knowledge in the mathematical sciences
Identification Number or DOI: https://doi.org/10.3844/jmssp.2021.22.29
URI: http://eprints.usq.edu.au/id/eprint/41524

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