Intransitive sets of random variables, boundaries with Markov moments

Alexey A. Kovalchuk

Lomonosov Moscow State University

Abstract: The work is devoted to studying the phenomenon of intransitivity of trading strategies with constant levels in the stock market. Using Doob's stopping theorem, as well as basic concepts from probability theory, it was possible to derive accurate estimates of the strength of intransitivity for the case of strategies with constant levels.

Keywords: intransitivity, Doob's stopping theorem, stock market.

UDC: 519.21
BBK: 22.171

Received: 06.01.2024
Revised: 17.05.2024
Accepted: 03.06.2024