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Information theory and the stock market.

Inoyatov, Aziz A.

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Information theory and the stock market.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Information theory and the stock market./
作者:	Inoyatov, Aziz A.
面頁冊數:	61 p.
附註:	Source: Masters Abstracts International, Volume: 48-06, page: 3688.
Contained By:	Masters Abstracts International48-06.
標題:	Applied Mathematics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1479170
ISBN:	9781124113739

Information theory and the stock market.
Inoyatov, Aziz A.

Information theory and the stock market. - 61 p.

Source: Masters Abstracts International, Volume: 48-06, page: 3688.

Thesis (M.A.)--University of Nebraska at Omaha, 2010.

Various approaches were proposed to predict the future prices for the stocks. The dominant theory in today's investment community is the Mean -- Variance Portfolio Theory proposed by Harry Markowitz. This thesis explores a strategy for a frequent trader with some elements of Modified Portfolio Theory.

ISBN: 9781124113739Subjects--Topical Terms:

1669109
Applied Mathematics.

Information theory and the stock market.
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100 1 $a Inoyatov, Aziz A. $3 1674209
245 1 0 $a Information theory and the stock market.
300 $a 61 p.
500 $a Source: Masters Abstracts International, Volume: 48-06, page: 3688.
500 $a Adviser: Vyacheslav Rykov.
502 $a Thesis (M.A.)--University of Nebraska at Omaha, 2010.
520 $a Various approaches were proposed to predict the future prices for the stocks. The dominant theory in today's investment community is the Mean -- Variance Portfolio Theory proposed by Harry Markowitz. This thesis explores a strategy for a frequent trader with some elements of Modified Portfolio Theory.
520 $a Given the nature of the stock market, which is considered to be a stochastic process, Constant Rebalanced Portfolio may not be the optimal strategy. An attempt was made to allocate the optimal wealth to certain securities based on probabilities obtained from generalized Wiener Process.
520 $a Another factor to consider is that the market does not always trend up. There are periods of time when the stock market declines considerably. The most recent example is the "financial meltdown" during late 2008 and early 2009, when the market dropped to the twelve year low and investors observed 40% decrease in their portfolios. To cope with this problem, we allow "short sell" in our portfolio.
520 $a Results show that on average our algorithm outperforms Buy and Hold strategy.
590 $a School code: 1060.
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Mathematics. $3 515831
650 4 $a Economics, Finance. $3 626650
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690 $a 0405
690 $a 0508
710 2 $a University of Nebraska at Omaha. $b Mathematics. $3 1674210
773 0 $t Masters Abstracts International $g 48-06.
790 1 0 $a Rykov, Vyacheslav, $e advisor
790 1 0 $a Volkman, David $e committee member
790 1 0 $a From, Steve $e committee member
790 $a 1060
791 $a M.A.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1479170