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Continuous-time trading and the emergence of probability
Continuous-time trading emergence of probability
2010/11/1
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized ...
The premium of dynamic trading
Continuous time portfolio selection mean–variance efficiency Sharperatio
2010/11/1
It is well established that in a market with inclusion of a risk-free asset the singleperiod
mean–variance efficient frontier is a straight line tangent to the risky region, a
fact that is the very ...
The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market
Trading Strategies Endogenous Pricing an Illiquid Market
2010/7/2
We investigate a large trader's trading strategies in a decentralized market, in which all traders are subject to type switching. This trader has pressure to liquidate her position by the end of the h...