A probabilistic analysis of the trading the line strategy

DOI10.1080/14697680701489427zbMath1154.91420OpenAlexW1984022613MaRDI QIDQ3605224

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Publication date: 23 February 2009

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

Full work available at URL: https://engagedscholarship.csuohio.edu/cgi/viewcontent.cgi?article=1166&context=scimath_facpub

zbMATH Keywords

binomial modelSPRTtrinomial modelgeometric random walkcumulative sum procedurefinancial securitieslong positionshort positiontrailing stops strategy

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Some first passage problems related to cusum procedures
• Wald's approximations to the average run length in cusum procedures
• On stop-loss strategies for stock investments.
• Celebrating Abraham Wald's Birth Centenary
• Regenerative Simulation for Estimating Extreme Values
• Detecting changes in probabilities of a multi—component process
• Trading Securities Using Trailing Stops
• Option pricing: A simplified approach
• The First Passage Problem for a Continuous Markov Process

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