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http://dx.doi.org/10.7465/jkdi.2012.23.5.867

Spatially dependent Parrondo games and stock investments  

Cho, Dong-Seob (Department of Statistics, Yeungnam University)
Lee, Ji-Yeon (Department of Statistics, Yeungnam University)
Publication Information
Journal of the Korean Data and Information Science Society / v.23, no.5, 2012 , pp. 867-880 More about this Journal
Abstract
Parrondo paradox is the counter-intuitive situation where individually losing games can combine to win or individually winning games can combine to lose. In this paper, we derive the expected profit per trade for each portfolio when we trade stocks everyday under the spatially dependent Parrondo game rule. Using stock data of KRX (Korea Exchange) from 2008 to 2010, we show that Parrondo paradox exists in the stock trading.
Keywords
Markov chains; Parrondo effect; Parrondo paradox; reverse Parrondo effect; spatially dependent Parrondo games; stationary distribution; stock data;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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