Using the Levy sections to reduce risks in the buying strategies and asset sales that value in time

Previously, some of us put forward the Levy sections theorem revisited as an extension of the classical central limit theorem that provides an alternative view of data volatilities (Figueiredo et al., 2007a, 2007b). In this paper, we discuss its usefulness in the risk assessment of financial assets. Although it is a stylized fact that prices are likely to follow non-Gaussian random walks, time randomization under the Levy sections theorem conditions allows us to recover some Gaussianity. Thus, we propose a study comparing two buying and selling strategies: A fixed-time interval strategy against a random-time-interval strategy based on a Levy section tau. We exemplify our approach with four financial time series (two daily and two intraday datasets), and we conclude that the random-time strategy offers a lower risk and a given expected gain in a shorter time than the fixed-time strategy. (C) 2021 Elsevier B.V. All rights reserved.