The upper bound of cumulative return of a trading series.
We present an upper bound of cumulative return in financial trading time series to formulate the most possible profit of many trades. The bound can be used to formally analyze the cumulative return varied by the number of trades, the mean return, and transaction cost rate. We also prove and show the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2022-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0267239 |