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

continuous time Brownian motiondiscrete time random walkfinancial marketsregenerative processesstochastic differential equation

Mathematics Subject Classification ID

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

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Cited in

(12)

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

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