Momentum liquidation under partial information

DOI10.1017/JPR.2016.4zbMath1415.91333OpenAlexW2430726130MaRDI QIDQ3188565

Erik Ekström, Martin Vannestål

Publication date: 11 August 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1466172858

zbMATH Keywords

optimal stoppingstock sellingmomentum tradingquickest detection problem for Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial science and mathematical finance (91G99)

Related Items (1)

Optimal entry decision of unemployment insurance under partial information

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal selling of an asset under incomplete information
• On the Wiener disorder problem
• Multisource Bayesian sequential change detection
• Optimal Stock Selling Based on the Global Maximum
• Comment on “Investment Timing Under Incomplete Information”
• On the perpetual American put options for level dependent volatility models with jumps
• Thou shalt buy and hold
• Optimal stopping of a piecewise-deterministic markov process
• On a stochastic version of the trading rule “Buy and Hold”
• Optimal Closing of a Momentum Trade
• Investment Timing Under Incomplete Information

This page was built for publication: Momentum liquidation under partial information