Book chapter
Price-Bands: A Technical Tool for Stock Trading
Fintech with Artificial Intelligence, Big Data, and Blockchain, pp 221-246
09 Mar 2021
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.
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Details
- Title
- Price-Bands: A Technical Tool for Stock Trading
- Creators
- Jinwook Lee - Drexel UniversityJoonhee LeeAndrás Prékopa - Rutgers, The State University of New Jersey
- Publication Details
- Fintech with Artificial Intelligence, Big Data, and Blockchain, pp 221-246
- Series
- Blockchain Technologies
- Publisher
- Springer Singapore; Singapore
- Resource Type
- Book chapter
- Language
- English
- Academic Unit
- Decision Sciences (and Management Information Systems)
- Other Identifier
- 991021880164404721