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http://dx.doi.org/10.7465/jkdi.2015.26.4.781

Stock investment with a redistribution model of the history-dependent Parrondo game  

Jin, Geonjoo (Department of Statistics, Yeungnam University)
Lee, Jiyeon (Department of Statistics, Yeungnam University)
Publication Information
Journal of the Korean Data and Information Science Society / v.26, no.4, 2015 , pp. 781-790 More about this Journal
Abstract
The Parrondo paradox is the counter-intuitive phenomenon: when we combine two losing games we can win the game or when we combine two winning games we can lose the game. In this paper, we assume that an investor adopts the rule of the history-dependent Parrondo game for investment in the stock market. Using the KRX (Korea Exchange) data from 2012 to 2014, we found the Parrondo paradox in the stock trading: the redistribution of profits among accounts can turn the decrease of the expected cumulative profit into the increase of the expected cumulative profit. We also found that the opposite case, namely the reverse Parrondo effect, can happen in the stock trading.
Keywords
History-dependent Parrondo game; expected profit; Markov chain; Parrondo paradox; redistribution model; stationary distribution; stock data;
Citations & Related Records
Times Cited By KSCI : 5  (Citation Analysis)
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