Products of random matrices and investment strategies
- 1 November 1996
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 54 (5) , R4516-R4519
- https://doi.org/10.1103/physreve.54.r4516
Abstract
A simple stochastic model of investment based on communication theory is introduced and analyzed in detail. We solve it exactly in a simple case and we use a weak disorder expansion to deal with the small fluctuations of the capital between two consecutive trading periods. Some possible generalizations are also discussed.Keywords
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