On the efficacy of stop-loss rules in the presence of overnight gaps

DOI10.1080/14697688.2019.1605188zbMATH Open1429.91349OpenAlexW2943161183WikidataQ127965213 ScholiaQ127965213MaRDI QIDQ5212063FDOQ5212063

Authors: Albert Dorador, Argimiro Arratia 

Publication date: 24 January 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2117/169672

Recommendations

• The optimal thresholds of pairs trading with a stop-loss condition
• AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY
• Generalization of affine feedback stock trading results to include stop-loss orders
• A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies
• On the Loading of a Stop-Loss Contract: A Correction on Extrapolation and two Stable Price Methods
• On the inefficiency of bang-bang and stop-loss portfolio strategies
• scientific article; zbMATH DE number 1464610
• scientific article; zbMATH DE number 3892431
• scientific article; zbMATH DE number 1093216

zbMATH Keywords

bootstraprisk managementfinancial modelingflash crashstop-lossovernight gap

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cites Work

• Title not available (Why is that?)
• Automatic Block-Length Selection for the Dependent Bootstrap
• The Stationary Bootstrap
• Title not available (Why is that?)
• A generalized normal distribution
• Title not available (Why is that?)
• Asset prices are Brownian motion: Only in business time

Cited In (1)

• Optimal stop-loss rules in markets with long-range dependence

Uses Software

• RMetrics
• fGarch
• bootlib

This page was built for publication: On the efficacy of stop-loss rules in the presence of overnight gaps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5212063)