A strategy based on mean reverting property of markets and applications to foreign exchange trading with trailing stops

DOI10.1002/ASMB.2229zbMATH Open1420.91478OpenAlexW2576668853MaRDI QIDQ4620197FDOQ4620197

Authors: Grigory Temnov 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2229

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zbMATH Keywords

Ornstein-Uhlenbeck processforeign exchange ratesautomated trading strategymean reversion on financial markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60)

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