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dc.contributor.authorPastor, Kyle
dc.date.accessioned2015-09-18 20:31:56 (GMT)
dc.date.available2015-09-18 20:31:56 (GMT)
dc.date.issued2015-09-18
dc.date.submitted2015
dc.identifier.urihttp://hdl.handle.net/10012/9677
dc.description.abstractWe explore various trading strategies from a mathematical and practical perspective. Using a geometric Brownian motion with a disorder to model asset price bubbles, we apply this model to multiple periods and explore the trading strategies on real market data (S&P500, NASDAQ and SSE Composite). We nd that the mathematical model is sucessful in predicting large market events such as the 2008 crisis, however fails to generate gains over times of healthy market growth. Three practical models are also presented and show that bene cial trading can be performed using some simple deterministic assumptions. The mathematical and practical methods are compared. iven
dc.language.isoenen
dc.publisherUniversity of Waterloo
dc.subjectFinanceen
dc.subjectTrading Strategiesen
dc.subjectDisordered Returnen
dc.subjectBrownian Motionen
dc.subjectGirsanoven
dc.titleOptimal Trading Strategies for an Asset with Disordered Returnen
dc.typeMaster Thesisen
dc.pendingfalse
dc.subject.programQuantitative Financeen
uws-etd.degree.departmentStatistics and Actuarial Scienceen
uws-etd.degreeMaster of Mathematicsen
uws.typeOfResourceTexten
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen


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