Browsing Department of Pure Mathematics and Mathematical Statistics (DPMMS) by Subject "transaction costs"

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  • Trading to stops 

    Imkeller, Nora; Rogers, Leonard Christopher (Society for Industrial and Applied MathematicsSiam Journal on Financial Mathematics, 2014-12-16)
    The use of trading stops is a common practice in financial markets for a variety of reasons: it reduces the frequency of trading and thereby transaction costs; it provides a simple way to control losses on a given trade, ...