Awareness of crash risk improves Kelly strategies in simulated financial time series

• Published in: IDEAS Working Paper Series from RePEc
• Main Authors: Jan-Christian Gerlach, Kreuser, Jerome, Sornette, Didier
• Format: Paper
• Language: English
• Published: St. Louis Federal Reserve Bank of St. Louis 01.01.2020

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles. The k...