19 citations · 134 across the 31 of their papers we have counts for
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math.OC2019★ 6 cited
The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attentio…
math.OC2019★ 5 cited
On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
We consider a discrete-time, linear state equation with delay which arises as a model for a trader's account value when buying and selling a risky asset in a financial market. The…