Stop Waiting Problem: Decision Rule with Ψ (PSI) Function and Application with Share Prices

9 Pages Posted: 5 Mar 2014 Last revised: 22 Aug 2014

Date Written: March 4, 2014

Abstract

In this paper the stop-waiting strategy of Franz Bruss is set into a simple probabilistic framework and applied to the apple share prices from 1984 to 2013. Within the probabilistic framework a heuristic and a mathematical decision rule using the Ψ function is developed. The results are in line with Bruss's theory. We apply the stop-waiting strategy to the Apple share prices and compare the results with a simple start-end and chart technique strategy.

Keywords: Optimal Stopping Problem, Mathematical Tools, Share Market

JEL Classification: C65, E47, G17

Suggested Citation

Kohn, Wolfgang, Stop Waiting Problem: Decision Rule with Ψ (PSI) Function and Application with Share Prices (March 4, 2014). Available at SSRN: https://ssrn.com/abstract=2404341 or http://dx.doi.org/10.2139/ssrn.2404341

Wolfgang Kohn (Contact Author)

FH Bielefeld ( email )

Fachbereich Wirtschaft
Universitätsstraße 25
Bielefeld, DE 33615
Germany
0049-521-106-5071 (Phone)

HOME PAGE: http://www.fh-bielefeld.de

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