Optimal Trading with a Trailing Stop
Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diff...
Ausführliche Beschreibung
Autor*in: |
Leung, Tim [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2019 |
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Schlagwörter: |
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Anmerkung: |
© Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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Übergeordnetes Werk: |
Enthalten in: Applied mathematics & optimization - Springer US, 1974, 83(2019), 2 vom: 22. Feb., Seite 669-698 |
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Übergeordnetes Werk: |
volume:83 ; year:2019 ; number:2 ; day:22 ; month:02 ; pages:669-698 |
Links: |
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DOI / URN: |
10.1007/s00245-019-09559-0 |
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Katalog-ID: |
OLC2124748378 |
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10.1007/s00245-019-09559-0 doi (DE-627)OLC2124748378 (DE-He213)s00245-019-09559-0-p DE-627 ger DE-627 rakwb eng 510 VZ Leung, Tim verfasserin aut Optimal Trading with a Trailing Stop 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. Trailing stop Stop loss Optimal stopping Drawdown Stochastic floor Zhang, Hongzhong aut Enthalten in Applied mathematics & optimization Springer US, 1974 83(2019), 2 vom: 22. Feb., Seite 669-698 (DE-627)129095184 (DE-600)7418-4 (DE-576)014431300 0095-4616 nnns volume:83 year:2019 number:2 day:22 month:02 pages:669-698 https://doi.org/10.1007/s00245-019-09559-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_70 GBV_ILN_2018 GBV_ILN_4027 AR 83 2019 2 22 02 669-698 |
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10.1007/s00245-019-09559-0 doi (DE-627)OLC2124748378 (DE-He213)s00245-019-09559-0-p DE-627 ger DE-627 rakwb eng 510 VZ Leung, Tim verfasserin aut Optimal Trading with a Trailing Stop 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. Trailing stop Stop loss Optimal stopping Drawdown Stochastic floor Zhang, Hongzhong aut Enthalten in Applied mathematics & optimization Springer US, 1974 83(2019), 2 vom: 22. Feb., Seite 669-698 (DE-627)129095184 (DE-600)7418-4 (DE-576)014431300 0095-4616 nnns volume:83 year:2019 number:2 day:22 month:02 pages:669-698 https://doi.org/10.1007/s00245-019-09559-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_70 GBV_ILN_2018 GBV_ILN_4027 AR 83 2019 2 22 02 669-698 |
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10.1007/s00245-019-09559-0 doi (DE-627)OLC2124748378 (DE-He213)s00245-019-09559-0-p DE-627 ger DE-627 rakwb eng 510 VZ Leung, Tim verfasserin aut Optimal Trading with a Trailing Stop 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. Trailing stop Stop loss Optimal stopping Drawdown Stochastic floor Zhang, Hongzhong aut Enthalten in Applied mathematics & optimization Springer US, 1974 83(2019), 2 vom: 22. Feb., Seite 669-698 (DE-627)129095184 (DE-600)7418-4 (DE-576)014431300 0095-4616 nnns volume:83 year:2019 number:2 day:22 month:02 pages:669-698 https://doi.org/10.1007/s00245-019-09559-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_70 GBV_ILN_2018 GBV_ILN_4027 AR 83 2019 2 22 02 669-698 |
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10.1007/s00245-019-09559-0 doi (DE-627)OLC2124748378 (DE-He213)s00245-019-09559-0-p DE-627 ger DE-627 rakwb eng 510 VZ Leung, Tim verfasserin aut Optimal Trading with a Trailing Stop 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. Trailing stop Stop loss Optimal stopping Drawdown Stochastic floor Zhang, Hongzhong aut Enthalten in Applied mathematics & optimization Springer US, 1974 83(2019), 2 vom: 22. Feb., Seite 669-698 (DE-627)129095184 (DE-600)7418-4 (DE-576)014431300 0095-4616 nnns volume:83 year:2019 number:2 day:22 month:02 pages:669-698 https://doi.org/10.1007/s00245-019-09559-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OPC-MAT GBV_ILN_70 GBV_ILN_2018 GBV_ILN_4027 AR 83 2019 2 22 02 669-698 |
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Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. © Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. © Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. © Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000naa a22002652 4500</leader><controlfield tag="001">OLC2124748378</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230505092557.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">230505s2019 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s00245-019-09559-0</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2124748378</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s00245-019-09559-0-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Leung, Tim</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Optimal Trading with a Trailing Stop</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2019</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© Springer Science+Business Media, LLC, part of Springer Nature 2019</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. 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