{"id":"https://openalex.org/W4385452044","doi":"https://doi.org/10.23919/ecc57647.2023.10178415","title":"How Skewed are Simultaneously Long-Short Trading Gains?","display_name":"How Skewed are Simultaneously Long-Short Trading Gains?","publication_year":2023,"publication_date":"2023-06-13","ids":{"openalex":"https://openalex.org/W4385452044","doi":"https://doi.org/10.23919/ecc57647.2023.10178415"},"language":"en","primary_location":{"id":"doi:10.23919/ecc57647.2023.10178415","is_oa":false,"landing_page_url":"http://dx.doi.org/10.23919/ecc57647.2023.10178415","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2023 European Control Conference (ECC)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5063457844","display_name":"Michael Heinrich Baumann","orcid":"https://orcid.org/0000-0003-2840-7286"},"institutions":[{"id":"https://openalex.org/I54009628","display_name":"University of Bayreuth","ror":"https://ror.org/0234wmv40","country_code":"DE","type":"education","lineage":["https://openalex.org/I54009628"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Michael Heinrich Baumann","raw_affiliation_strings":["University of Bayreuth,Faculty of Mathematics, Physics & Computer Science,Bayreuth,Germany,D-95447"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Bayreuth,Faculty of Mathematics, Physics & Computer Science,Bayreuth,Germany,D-95447","institution_ids":["https://openalex.org/I54009628"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5063457844"],"corresponding_institution_ids":["https://openalex.org/I54009628"],"apc_list":null,"apc_paid":null,"fwci":1.2038,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.77104377,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"6"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9937999844551086,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.8814272880554199},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.6979274749755859},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.6085268259048462},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5666703581809998},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5445386171340942},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.5229069590568542},{"id":"https://openalex.org/keywords/affine-transformation","display_name":"Affine transformation","score":0.4916906952857971},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.4670267105102539},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.42389512062072754},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.42028215527534485},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.36187177896499634},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.349267840385437},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2347957193851471},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.1658143401145935},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.133978009223938},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10054194927215576}],"concepts":[{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.8814272880554199},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6979274749755859},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6085268259048462},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5666703581809998},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5445386171340942},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5229069590568542},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.4916906952857971},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.4670267105102539},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.42389512062072754},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.42028215527534485},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36187177896499634},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.349267840385437},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2347957193851471},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.1658143401145935},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.133978009223938},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10054194927215576},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.23919/ecc57647.2023.10178415","is_oa":false,"landing_page_url":"http://dx.doi.org/10.23919/ecc57647.2023.10178415","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2023 European Control Conference (ECC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.4699999988079071,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1963593775","https://openalex.org/W1979992555","https://openalex.org/W1987246295","https://openalex.org/W1995522593","https://openalex.org/W2005649041","https://openalex.org/W2010899207","https://openalex.org/W2093613276","https://openalex.org/W2114199397","https://openalex.org/W2139836402","https://openalex.org/W2141592834","https://openalex.org/W2159879678","https://openalex.org/W2172074964","https://openalex.org/W2175772581","https://openalex.org/W2292101877","https://openalex.org/W2528389672","https://openalex.org/W2571449574","https://openalex.org/W2757080563","https://openalex.org/W2766195439","https://openalex.org/W2896337331","https://openalex.org/W2913458656","https://openalex.org/W3125595766","https://openalex.org/W3125947589","https://openalex.org/W3180191206","https://openalex.org/W4301668100","https://openalex.org/W6640515453","https://openalex.org/W6640998431","https://openalex.org/W6685611401","https://openalex.org/W6744639314","https://openalex.org/W6887391215"],"related_works":["https://openalex.org/W2510460543","https://openalex.org/W4385452044","https://openalex.org/W2936127455","https://openalex.org/W2147235923","https://openalex.org/W4200151087","https://openalex.org/W3154480698","https://openalex.org/W3214343406","https://openalex.org/W2482946008","https://openalex.org/W3183198676","https://openalex.org/W3121368516"],"abstract_inverted_index":{"Technical":[0],"trading":[1,49],"is":[2,30,51,92,124],"often":[3],"based":[4,156],"on":[5,157],"the":[6,52,67,76,95,118,129,132,139,166,169,172,175,187,217],"idea":[7],"of":[8,46,131,168,171,174,181],"predicting":[9],"trends":[10],"in":[11,105,110],"prices.":[12],"However,":[13],"these":[14,47],"predictions":[15],"are":[16,142,155],"problematic":[17],"for":[18,117,149,165],"several":[19],"reasons,":[20],"e.g.,":[21],"regime":[22,100],"breaks":[23],"over":[24],"time.":[25],"In":[26,144],"control":[27,184],"theory,":[28],"there":[29],"another":[31],"approach":[32],"that":[33,94,126],"treats":[34],"markets":[35],"as":[36,107,109,178,192,199],"machines":[37],"and":[38,64,69,72,183,203],"regulates":[39],"them.":[40],"The":[41],"presumably":[42],"best":[43],"understood":[44],"one":[45],"feedback-based":[48],"rules":[50],"so-called":[53],"Simultaneously":[54],"Long":[55],"Short":[56],"(SLS)":[57],"strategy.":[58,120],"This":[59],"strategy":[60,177],"invests":[61],"equally":[62],"long":[63],"short":[65],"at":[66],"beginning":[68],"shifts":[70],"more":[71,73],"investment":[74],"to":[75,81,87,99,215,221,227],"better":[77],"performing":[78],"side":[79],"according":[80,220],"affine":[82],"linear":[83],"feedback":[84,89,218],"schemes.":[85],"Due":[86],"this":[88,145,210],"loop,":[90],"it":[91,123],"possible":[93],"SLS":[96,119,140,176],"rule":[97,141],"adapts":[98],"breaks.":[101],"Under":[102],"specific":[103],"assumptions,":[104],"theory":[106],"well":[108],"backtests,":[111],"notable":[112],"results":[113],"could":[114],"be":[115,190,213],"achieved":[116],"For":[121],"implementations":[122],"important":[125],"questions":[127],"concerning":[128],"choice":[130],"parameters":[133,219],"and\u2014highly":[134],"interlinked\u2014the":[135],"risk":[136,195,201,231],"associated":[137],"with":[138,159],"considered.":[143],"paper":[146],"we":[147],"derive":[148],"relatively":[150],"general":[151],"market":[152,182],"models,":[153],"which":[154],"semimartingales":[158],"time-varying":[160],"parameters,":[161],"a":[162,179,194,200,204],"closed-form":[163],"formula":[164,211],"skewness":[167,188],"distribution":[170],"gain":[173],"function":[180],"parameters.":[185],"Since":[186],"can":[189,212],"seen":[191],"both":[193],"indicator":[196],"(but":[197],"not":[198],"measure)":[202],"property":[205],"some":[206],"traders":[207,226],"might":[208],"prefer,":[209],"used":[214],"choose":[216],"mean-variance-skewness":[222],"considerations,":[223],"thus,":[224],"helping":[225],"meet":[228],"their":[229],"idiosyncratic":[230],"aversions":[232],"or":[233],"preferences.":[234]},"counts_by_year":[{"year":2023,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}