Trading Securities Using Trailing Stops

DOI10.1287/MNSC.41.6.1096MaRDI QIDQ4896414zbMATH OpenOpenAlexFDO

Authors Donald L. Iglehart, Peter W. Glynn

Publication date 20 October 1996

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.6.1096

zbMATH Keywords

stochastic differential equationfinancial marketsregenerative processesdiscrete time random walkcontinuous time Brownian motion

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(12)

• Recursive algorithms for trailing stop: Stochastic approximation approach
• Optimal online two-way trading with bounded number of transactions
• Optimal trading with a trailing stop
• Trading to stops
• A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies
• On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures
• A probabilistic analysis of the trading the line strategy
• Lévy processes with two-sided reflection
• Distributional Properties of CUSUM Stopping Times
• Generalization of affine feedback stock trading results to include stop-loss orders
• Curve crossing for random walks reflected at their maximum
• Optimal stop-loss rules in markets with long-range dependence

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