Parrondo Paradox and Stock Investment

Title
Parrondo Paradox and Stock Investment
Author(s)
이지연조동섭
Keywords
Parrondo paradox; Parrondo effect; reverse Parrondo effect; history-dependent Parrondo games; Markov chains; stationary distribution; stock data.
Issue Date
201208
Publisher
한국통계학회
Citation
응용통계연구, v.25, no.4, pp.543 - 552
Abstract
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.
URI
http://hdl.handle.net/YU.REPOSITORY/27418
ISSN
1225-066X
Appears in Collections:
이과대학 > 통계학과 > Articles
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