Geodesic
Intransitive sets of random variables, boundaries with Markov moments
Matematičeskaâ teoriâ igr i eë priloženiâ, Tome 16 (2024) no. 2, pp. 8-28.

Voir la notice de l'article provenant de la source Math-Net.Ru

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. 
@article{MGTA_2024_16_2_a1,
     author = {Alexey A. Kovalchuk},
     title = {Intransitive sets of random variables, boundaries with {Markov} moments},
     journal = {Matemati\v{c}eska\^a teori\^a igr i e\"e prilo\v{z}eni\^a},
     pages = {8--28},
     publisher = {mathdoc},
     volume = {16},
     number = {2},
     year = {2024},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MGTA_2024_16_2_a1/}
}
TY  - JOUR
AU  - Alexey A. Kovalchuk
TI  - Intransitive sets of random variables, boundaries with Markov moments
JO  - Matematičeskaâ teoriâ igr i eë priloženiâ
PY  - 2024
SP  - 8
EP  - 28
VL  - 16
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MGTA_2024_16_2_a1/
LA  - ru
ID  - MGTA_2024_16_2_a1
ER  - 
%0 Journal Article
%A Alexey A. Kovalchuk
%T Intransitive sets of random variables, boundaries with Markov moments
%J Matematičeskaâ teoriâ igr i eë priloženiâ
%D 2024
%P 8-28
%V 16
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MGTA_2024_16_2_a1/
%G ru
%F MGTA_2024_16_2_a1
Alexey A. Kovalchuk. Intransitive sets of random variables, boundaries with Markov moments. Matematičeskaâ teoriâ igr i eë priloženiâ, Tome 16 (2024) no. 2, pp. 8-28. http://geodesic.mathdoc.fr/item/MGTA_2024_16_2_a1/

[1] Bulinskii A.V., Shiryaev A.N., Teoriya sluchainykh protsessov, Fizmatlit, 2005

[2] Teoriya bolshogo vzryva, otryvok s opisaniem igry, https://www.youtube.com/watch?v=cuU5MHyinFs

[3] Tokarev S.S., «Netranzitivnyi lokhotron» na fondovom rynke. Ob odnoi perspektivnoi forme platnogo obucheniya ekonomike, , 2009 http://cdn.scipeople.ru/materials/14103/Nontransitive20lohotron.pdf

[4] Shiryaev A.N., Osnovy stokhasticheskoi finansovoi matematiki, Fazis, M., 1998

[5] Shiryaev A.N., “O martingalnykh metodakh v zadachakh o peresechenii granits brounovskim dvizheniem”, Sovr. probl. matem., 2007, no. 8, 3–78 | DOI

[6] Finam, Mosbirzha, aktsii Sberbank, , 2021 https://www.finam.ru/profile/moex-akcii/sberbank/export/

[7] Finam, Mosbirzha, aktsii Gazproma, , 2022 https://www.finam.ru/profile/moex-akcii/gazprom/export/

[8] Kass S., Rock paper scissors spock lizard, http://www.samkass.com/theories/RPSSL.html

[9] Usiskin Z., “Max–Min Probabilities in the Voting Paradox”, Ann. Math. Statist., 35:2, 857–862 | DOI | MR | Zbl