Optimal Trading with a Trailing Stop
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"Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit,"
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Cited by:
- Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
- Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2017-01-22 (Computational Economics)
- NEP-MST-2017-01-22 (Market Microstructure)
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