Forecasting trends with asset prices

DOI10.1080/14697688.2016.1206959zbMath1402.91748arXiv1504.03934OpenAlexW270942256MaRDI QIDQ4555084

Ahmed Bel Hadj Ayed, Frederic Abergel, Grégoire Loeper

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03934

zbMATH Keywords

Ornstein-Uhlenbeck processKalman filtertrend estimationinvestment strategies

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Robust utility maximization under model uncertainty via a penalization approach ⋮ PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION ⋮ Challenging the robustness of optimal portfolio investment with moving average-based strategies ⋮ Trend following with momentum versus moving averages: a tale of differences

Uses Software

• itsmr

Cites Work

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