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Showing 1 to 1 of 1 for “"Exponential filter"”.
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Analysis of Exponential Filter Time Series Operators of Geometric Brownian Motion in Trading Strategies
… which result from the application of an exponential time series operator to the solution of the asset price SDE and various algebraic combinations of such processes are proven. A trading strategy is proposed and analyzed in which the size and direction of the market position in the risky …