A probabilistic analysis of the trading the line strategy

DOI10.1080/14697680701489427MaRDI QIDQ3605224zbMATH OpenOpenAlexFDO

Authors

Publication date 23 February 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://engagedscholarship.csuohio.edu/cgi/viewcontent.cgi?article=1166&context=scimath_facpub

zbMATH Keywords

binomial modelSPRTtrinomial modelgeometric random walkcumulative sum procedurefinancial securitieslong positionshort positiontrailing stops strategy

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Celebrating Abraham Wald's Birth Centenary
• Detecting changes in probabilities of a multi—component process
• On stop-loss strategies for stock investments.
• Option pricing: A simplified approach
• Regenerative Simulation for Estimating Extreme Values
• Some first passage problems related to cusum procedures
• The First Passage Problem for a Continuous Markov Process
• Trading Securities Using Trailing Stops
• Wald's approximations to the average run length in cusum procedures

Cited in

(5)

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• Trading probabilities along cycles
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• A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies
• scientific article; zbMATH DE number 5800989 (Why is no real title available?)

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