The price-volume relationship caused by asset allocation based on Kelly criterion
It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adju...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Wang, Kaiyang [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2018transfer abstract |
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| Schlagwörter: |
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| Umfang: |
8 |
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| Übergeordnetes Werk: |
Enthalten in: Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study - Dai, Jiamiao ELSEVIER, 2022, europhysics journal, Amsterdam |
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| Übergeordnetes Werk: |
volume:503 ; year:2018 ; day:1 ; month:08 ; pages:1-8 ; extent:8 |
| Links: |
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| DOI / URN: |
10.1016/j.physa.2018.02.186 |
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ELV045042756 |
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| 520 | |a It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. | ||
| 520 | |a It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. | ||
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10.1016/j.physa.2018.02.186 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001207.pica (DE-627)ELV045042756 (ELSEVIER)S0378-4371(18)30279-6 DE-627 ger DE-627 rakwb eng 610 VZ 44.91 bkl Wang, Kaiyang verfasserin aut The price-volume relationship caused by asset allocation based on Kelly criterion 2018transfer abstract 8 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. Kelly criterion Elsevier Stock markets Elsevier Price-volume relationship Elsevier Yang, Haizhen oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:503 year:2018 day:1 month:08 pages:1-8 extent:8 https://doi.org/10.1016/j.physa.2018.02.186 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 503 2018 1 0801 1-8 8 |
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10.1016/j.physa.2018.02.186 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001207.pica (DE-627)ELV045042756 (ELSEVIER)S0378-4371(18)30279-6 DE-627 ger DE-627 rakwb eng 610 VZ 44.91 bkl Wang, Kaiyang verfasserin aut The price-volume relationship caused by asset allocation based on Kelly criterion 2018transfer abstract 8 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. Kelly criterion Elsevier Stock markets Elsevier Price-volume relationship Elsevier Yang, Haizhen oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:503 year:2018 day:1 month:08 pages:1-8 extent:8 https://doi.org/10.1016/j.physa.2018.02.186 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 503 2018 1 0801 1-8 8 |
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10.1016/j.physa.2018.02.186 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001207.pica (DE-627)ELV045042756 (ELSEVIER)S0378-4371(18)30279-6 DE-627 ger DE-627 rakwb eng 610 VZ 44.91 bkl Wang, Kaiyang verfasserin aut The price-volume relationship caused by asset allocation based on Kelly criterion 2018transfer abstract 8 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. Kelly criterion Elsevier Stock markets Elsevier Price-volume relationship Elsevier Yang, Haizhen oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:503 year:2018 day:1 month:08 pages:1-8 extent:8 https://doi.org/10.1016/j.physa.2018.02.186 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 503 2018 1 0801 1-8 8 |
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10.1016/j.physa.2018.02.186 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001207.pica (DE-627)ELV045042756 (ELSEVIER)S0378-4371(18)30279-6 DE-627 ger DE-627 rakwb eng 610 VZ 44.91 bkl Wang, Kaiyang verfasserin aut The price-volume relationship caused by asset allocation based on Kelly criterion 2018transfer abstract 8 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. Kelly criterion Elsevier Stock markets Elsevier Price-volume relationship Elsevier Yang, Haizhen oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:503 year:2018 day:1 month:08 pages:1-8 extent:8 https://doi.org/10.1016/j.physa.2018.02.186 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 503 2018 1 0801 1-8 8 |
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10.1016/j.physa.2018.02.186 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001207.pica (DE-627)ELV045042756 (ELSEVIER)S0378-4371(18)30279-6 DE-627 ger DE-627 rakwb eng 610 VZ 44.91 bkl Wang, Kaiyang verfasserin aut The price-volume relationship caused by asset allocation based on Kelly criterion 2018transfer abstract 8 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. Kelly criterion Elsevier Stock markets Elsevier Price-volume relationship Elsevier Yang, Haizhen oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:503 year:2018 day:1 month:08 pages:1-8 extent:8 https://doi.org/10.1016/j.physa.2018.02.186 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 503 2018 1 0801 1-8 8 |
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Enthalten in Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study Amsterdam volume:503 year:2018 day:1 month:08 pages:1-8 extent:8 |
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Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study |
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The price-volume relationship caused by asset allocation based on Kelly criterion |
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The price-volume relationship caused by asset allocation based on Kelly criterion |
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Wang, Kaiyang |
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Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study |
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Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study |
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Wang, Kaiyang |
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10.1016/j.physa.2018.02.186 |
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price-volume relationship caused by asset allocation based on kelly criterion |
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The price-volume relationship caused by asset allocation based on Kelly criterion |
| abstract |
It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. |
| abstractGer |
It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. |
| abstract_unstemmed |
It is noticed that there is a relation between assets’ return and trade volume in financial markets, but existing theory could not explain how exactly they are connected or what the relation is in a general scenario. Based on the hypothesis that investors who adopt a Kelly trading strategy will adjust their position periodically, we present a model describing the explicit price-volume relation. The model shows that factors related with the volume of trade are: (1) the total volume of the risk asset; (2) the optimal proportion of the risk asset implied by the Kelly criterion; and (3) the accumulated absolute deviation of the risk asset’s return from the risk-free rate. In a multi-asset scenario, the factor (2) and (3) of one asset could partly explain other assets’ trading volume. Empirical test with data from the Chinese and the U.S. stock markets verifies such relation. |
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The price-volume relationship caused by asset allocation based on Kelly criterion |
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https://doi.org/10.1016/j.physa.2018.02.186 |
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Yang, Haizhen |
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