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

DOI10.1080/14697688.2019.1605188zbMath1429.91349OpenAlexW2943161183WikidataQ127965213 ScholiaQ127965213MaRDI QIDQ5212063

Albert Dorador, Argimiro A. 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

zbMATH Keywords

bootstraprisk managementfinancial modelingflash crashstop-lossovernight gap

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Uses Software

• RMetrics
• fGarch
• bootlib

Cites Work

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• A generalized normal distribution
• The Stationary Bootstrap
• Automatic Block-Length Selection for the Dependent Bootstrap

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