RePEcTrading, Microstructure & Execution
EMA Trading Strategies with Partial Information
The study investigates optimal trading strategies for a partially informed trader under Gaussian price dynamics, proving that optimal strategies depend on current price and an exponentially weighted moving average price.
Featured in No. 30 on 20 Dec 2023 · on release day
- Released
- 20 Dec 2023
- First featured
- No. 30 · 20 Dec 2023
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- Identifier
- RePEc:wsi:wschap:9789811280306_0015
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