Recursive algorithms for trailing stop: Stochastic approximation approach

DOI10.1007/s10957-010-9662-9zbMath1205.90212OpenAlexW1989012362MaRDI QIDQ711707

D. Kharzeev

Publication date: 27 October 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-010-9662-9

zbMATH Keywords

stochastic optimizationtrailing stops

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (1)

Optimal trading with a trailing stop

Cites Work

• A stopping rule for the Robbins-Monro method
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Trading Securities Using Trailing Stops
• STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
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