Abstract
Given a stochastic process with known finite dimensional distributions, we construct lower and upper bounds within which future values of the stochastic process run, at a fixed probability level. For a financial trading business, such set of bounds are called “price-bands” or “trading-bands” that can be used as an indicator for successfully buying or short-selling shares of stock. In this chapter, we present a mathematical model for the novel construction of price-bands using a stochastic programming formulation. Numerical examples using recent US stock market intraday data are presented.
A. Prékopa: Deceased 18 September, 2016.
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Lee, J., Lee, J., Prékopa, A. (2021). Price-Bands: A Technical Tool for Stock Trading. In: Choi, P.M.S., Huang, S.H. (eds) Fintech with Artificial Intelligence, Big Data, and Blockchain. Blockchain Technologies. Springer, Singapore. https://doi.org/10.1007/978-981-33-6137-9_10
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DOI: https://doi.org/10.1007/978-981-33-6137-9_10
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