Trading Securities Using Trailing Stops
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Publication:4896414
DOI10.1287/mnsc.41.6.1096zbMath0859.90025OpenAlexW2158105755MaRDI QIDQ4896414
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
stochastic differential equationfinancial marketsregenerative processesdiscrete time random walkcontinuous time Brownian motion
Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (9)
On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures ⋮ Curve crossing for random walks reflected at their maximum ⋮ Distributional Properties of CUSUM Stopping Times ⋮ Recursive algorithms for trailing stop: Stochastic approximation approach ⋮ Optimal trading with a trailing stop ⋮ A probabilistic analysis of the trading the line strategy ⋮ Lévy Processes with Two-Sided Reflection ⋮ Optimal online two-way trading with bounded number of transactions ⋮ A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies
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