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

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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. 
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     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},
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     number = {2},
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     url = {http://geodesic.mathdoc.fr/item/MGTA_2024_16_2_a1/}
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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/