Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)

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Optimal Trading Strategy for Gold Based on Optimal Stopping Time

Authors
Chiahao Chuen1, Yuning Dong2, Chenghao Qiu3, Ai Wang4, *
1Shenzhen Senior High school, high school, Shenzhen, China
2Anhui University, School of Applied Statistics, Hefei, China
3Sun Yat-sen University, School of Mathematics, Guangzhou, China
4Sun Yat-sen University, School of Mathematics, Zhuhai, China
*Corresponding author. Email: wangai5@mail2.sysu.edu.cn
Corresponding Author
Ai Wang
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-102-9_6How to use a DOI?
Keywords
Optimal Stopping Time; Brownian Motion; Golden Price
Abstract

The optimal stopping time is of profound significance in statistics, mathematics and finance, and can be used to derive optimal choices from uncertain problems such as volatile golden market. The paper mainly focuses on studying the problem of optimal stopping time by using the basic theory of Brownian motion and resolving the optimal time node for trading gold at a specified time in which tendency of golden price is known. Brownian motion, one of the basic theories in the stock market, solves probabilistic random problems and helps calculate the time node closet for best-selling time in formula. This paper uses Brownian motion as a research method to calculate optimal stopping time. Then the data of golden price is selected from 2021 to 2022 as a model and used for analysing boundary and retracement state of specific golden price to determine the optimal stopping time that maximal trading revenue generates. Therefore, this paper provides a common method to study best stopping time in bull market to derive the optimal profit. The empirical results verify the feasibility and operability of the optimal stopping time model in the investment market. Investors can use boundary value and retracement value as reference data to sell gold in time in order to avoid huge losses. Investors can also adjust the parameters of the model according to their own investment strategies, so that the calculated results of the model can meet individual needs.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)
Series
Atlantis Highlights in Computer Sciences
Publication Date
29 December 2022
ISBN
978-94-6463-102-9
ISSN
2589-4900
DOI
10.2991/978-94-6463-102-9_6How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Chiahao Chuen
AU  - Yuning Dong
AU  - Chenghao Qiu
AU  - Ai Wang
PY  - 2022
DA  - 2022/12/29
TI  - Optimal Trading Strategy for Gold Based on Optimal Stopping Time
BT  - Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)
PB  - Atlantis Press
SP  - 38
EP  - 49
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-102-9_6
DO  - 10.2991/978-94-6463-102-9_6
ID  - Chuen2022
ER  -