Abstract

http://ssrn.com/abstract=2200556
 
 

Citations (1)



 


 



When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model


A.N. Shiryaev


Steklov Mathematical Institute

Mikhail Zitlukhin


Steklov Mathematical Institute

William T. Ziemba


University of British Columbia (UBC) - Sauder School of Business

January 8, 2013


Abstract:     
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price processes that appear to be bubbles. By a bubble we mean the rising price is largely based on the expectation of higher and higher future prices. Futures traders such as George Soros attempt to trade such markets. The idea is to exit near the peak from a starting long position. The model applies equally well on the short side, that is when to enter and exit a short position. In this paper we test the model in two technology markets. These include the price of Apple computer stock AAPL from various times in 2009{2012 after the local low of March 6, 2009; plus a market where it is known that the generally very successful bubble trader George Soros lost money by shorting the NASDAQ-100 stock index too soon in 2000. The Shiryaev-Zhitlukhin model provides good exit points in both situations that would have been pro table to speculators following the model. who employed the model.

Number of Pages in PDF File: 19

Keywords: bubbles, Soros trading, Apple Computer Inc., NASDAQ 100

JEL Classification: B25, C63, E44, E65, G12

working papers series





Download This Paper

Date posted: October 28, 2013  

Suggested Citation

Shiryaev, A.N. and Zitlukhin, Mikhail and Ziemba, William T., When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model (January 8, 2013). Available at SSRN: http://ssrn.com/abstract=2200556 or http://dx.doi.org/10.2139/ssrn.2200556

Contact Information

A.N. Shiryaev
Steklov Mathematical Institute ( email )
Gubkina St. 8
Moscow, 117966
Mikhail Zitlukhin
Steklov Mathematical Institute ( email )
Gubkina St. 8
Moscow, 117966
United States
William T. Ziemba (Contact Author)
University of British Columbia (UBC) - Sauder School of Business ( email )
2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-261-1343 (Phone)
604-263-9572 (Fax)
HOME PAGE: http://williamtziemba.com
Feedback to SSRN


Paper statistics
Abstract Views: 1,428
Downloads: 304
Download Rank: 58,516
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.281 seconds