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Matematicheskaya Teoriya Igr i Ee Prilozheniya, 2024, Volume 16, Issue 2, Pages 8–28
(Mi mgta345)
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Intransitive sets of random variables, boundaries with Markov moments
Alexey A. Kovalchuk Lomonosov Moscow State University
Abstract:
The work is devoted to studying the phenomenon of intransitivity of trading strategies with constant levels in the stock market. Using Doob's stopping theorem, as well as basic concepts from probability theory, it was possible to derive accurate estimates of the strength of intransitivity for the case of strategies with constant levels.
Keywords:
intransitivity, Doob's stopping theorem, stock market.
Received: 06.01.2024 Revised: 17.05.2024 Accepted: 03.06.2024
Citation:
Alexey A. Kovalchuk, “Intransitive sets of random variables, boundaries with Markov moments”, Mat. Teor. Igr Pril., 16:2 (2024), 8–28
Linking options:
https://www.mathnet.ru/eng/mgta345 https://www.mathnet.ru/eng/mgta/v16/i2/p8
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Statistics & downloads: |
Abstract page: | 38 | Full-text PDF : | 9 | References: | 17 |
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