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Trading to stops

dc.creatorImkeller, Nora
dc.creatorRogers, Leonard Christopher
dc.date.accessioned2018-11-24T23:26:21Z
dc.date.available2015-01-08T12:33:38Z
dc.date.available2018-11-24T23:26:21Z
dc.date.issued2014-12-16
dc.identifierhttps://www.repository.cam.ac.uk/handle/1810/246539
dc.identifier.urihttp://repository.aust.edu.ng/xmlui/handle/123456789/3810
dc.description.abstractThe 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, while also ensuring that profit-taking is not deferred indefinitely; and it allows opportunities to consider reallocating resources to other investments. In this paper, we try to explain why the use of stops may be desirable, by proposing a simple objective to be optimized. We investigate a number of commonly used rules for the placing and use of stops, either fixed or moving, with fixed costs, showing how to identify optimal levels at which to set stops, and compare the performance of different rules and strategies.
dc.languageen
dc.publisherSociety for Industrial and Applied Mathematics
dc.publisherSiam Journal on Financial Mathematics
dc.subjectbarriers
dc.subjecttrailing stop
dc.subjecttransaction costs
dc.subjectstopping time
dc.subjectLaplace transform
dc.titleTrading to stops
dc.typeArticle


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