Parrondo Paradox and Stock Investment

被引：1
|
作者：
Cho, Dongseob [1 ]
Lee, Jiyeon [1 ]
机构：
[1] Yeungnam Univ, Dept Stat, 214-1 Dae Dong, Kyeongsan 712749, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2012年 / 25卷 / 04期
基金：
新加坡国家研究基金会;
关键词：
Parrondo paradox; Parrondo effect; reverse Parrondo effect; history-dependent Parrondo games; Markov chains; stationary distribution; stock data;
D O I：
10.5351/KJAS.2012.25.4.543
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Parrondo paradox is a counter-intuitive phenomenon where two losing games can be combined to win or two winning games can be combined to lose. When we trade stocks with a history-dependent Parrondo game rule (where we buy and sell stocks based on recent investment outcomes) we found Parrondo paradox in stock trading. Using stock data of the KRX from 2008 to 2010, we analyzed the Parrondo paradoxical cases in the Korean stock market.
引用
收藏
页码：543 / 552
页数：10
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