Geodesic
Mathematical model of a successful stock market game
Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ, Matematičeskoe modelirovanie i programmirovanie, Tome 8 (2015) no. 1, pp. 128-131 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

All available predictive models of stock market trade (like regression or statistical analysis, for instance) are based on studying of price fluctuation. This article proposes a new model of a successful stock market strategy based on studying of the behavior of the largest successful players. The main point of this model is that a relatively weak player repeats the actions of stronger players in the same fashion as in a race after leader a cyclist following a motorbike reaches greater velocity. We represent the leader as a vector in the nonnegative orthant ${\mathbb R}^n_+$ depending on the most successful traders (hedge funds). When buying and selling stocks, we should always keep the vector of own resources collinear to the leader's. This strategy will not yield significant profit, but it prevents considerable loss.
Keywords: stock market trade; hedge funds; race after leader. 
@article{VYURU_2015_8_1_a9,
     author = {T. A. Vereschagina and M. M. Yakupov and V. K. Khen},
     title = {Mathematical model of a successful stock market game},
     journal = {Vestnik \^U\v{z}no-Uralʹskogo gosudarstvennogo universiteta. Seri\^a, Matemati\v{c}eskoe modelirovanie i programmirovanie},
     pages = {128--131},
     year = {2015},
     volume = {8},
     number = {1},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/VYURU_2015_8_1_a9/}
}
TY  - JOUR
AU  - T. A. Vereschagina
AU  - M. M. Yakupov
AU  - V. K. Khen
TI  - Mathematical model of a successful stock market game
JO  - Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ, Matematičeskoe modelirovanie i programmirovanie
PY  - 2015
SP  - 128
EP  - 131
VL  - 8
IS  - 1
UR  - http://geodesic.mathdoc.fr/item/VYURU_2015_8_1_a9/
LA  - en
ID  - VYURU_2015_8_1_a9
ER  - 
%0 Journal Article
%A T. A. Vereschagina
%A M. M. Yakupov
%A V. K. Khen
%T Mathematical model of a successful stock market game
%J Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ, Matematičeskoe modelirovanie i programmirovanie
%D 2015
%P 128-131
%V 8
%N 1
%U http://geodesic.mathdoc.fr/item/VYURU_2015_8_1_a9/
%G en
%F VYURU_2015_8_1_a9
T. A. Vereschagina; M. M. Yakupov; V. K. Khen. Mathematical model of a successful stock market game. Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ, Matematičeskoe modelirovanie i programmirovanie, Tome 8 (2015) no. 1, pp. 128-131. http://geodesic.mathdoc.fr/item/VYURU_2015_8_1_a9/

[1] Smith A., An Inquiry into the Nature and Causes of the Wealth of Nations, London, 1776

[2] Walras L., Élements d'économie politique pure, ou, Théorie de la richesse sociale, L. Gorbaz, Paris, 1874

[3] Ekeland I., Elements d'économie mathematique, Hermann, Paris, 1979 | MR

[4] Marx K., Das Kapital. Kritik der politischen Oekonomie, v. 1, Verlag von Otto Meisner, Berlin, 1867; v. 2, 1885; v. 3, 1894

[5] Leontief V., Essays in economics: theories and theorizing, v. 1, Oxford University Press, New York, 1966; v. 2, 1977

[6] Shestakov A. L., Keller A. V., Sviridyuk G. A., “The Theory of Optimal Measurements”, Journal of Computational and Engineering Mathematics, 1:1 (2014), 3–16 | Zbl

[7] Shestakov A., Sviridyuk G., Sagadeeva M., “Reconstruction of a Dynamically Distorted Signal with Respect to the Measure Transducer Degradation”, Applied Mathematical Sciences, 8:43–44 (2014), 2125–2130 | DOI

[8] Keynes J. M., The general theory of employment, interest and money, Palgrave Macmillan, London, 1936

[9] Niederhoffer V., Kenner L., Practical speculation, John Wiley Sons, Inc., New York, 2003