The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold

Conference paper

宗翰謝, B. Ross Barmish and John A. Gubner

Proceedings of the IEEE Conference on Decision and Control (CDC), pp.2580-2585

12/2019

Abstract

Stochastic Systems;Financial Engineering;Delay Systems;Kelly Betting;High-Frequency Trading

1 Record Views

Title: The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold
Creators - without role: 宗翰謝 - University of Wisconsin–Madison
B. Ross Barmish - University of Wisconsin–Madison
John A. Gubner - University of Wisconsin–Madison
Publication Details: Proceedings of the IEEE Conference on Decision and Control (CDC), pp.2580-2585
Identifiers: 9957771760306774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Conference paper