Stop-loss strategies with serial correlation, regime switching, and transaction costs-Reference-Cited by-同舟云学术

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Stop-loss strategies with serial correlation, regime switching, and transaction costs

Published:2017-06 Issue: Volume:34 Page:1-15
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Lo Andrew W.,Remorov Alexander^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. A probabilistic analysis of the trading the line strategy;Abramov;Quant. Financ.,2008

2. The reversal of large stock price declines: the case of large firms;Benou;J. Econ. Financ.,2003

3. The reversal of large stock-price decreases;Bremer;J. Financ.,1991

4. Detko, Kira, Ma, Wilson, Morita, Guy, 2008. Re-examining the hidden costs of the stop-loss. University of Washington Working Paper.

5. Ekstrom, Erik, Lindberg, Carl, Tysk, Johan, 2011. Optimal liquidation of a pairs trade. Advanced Mathematical Methods for Finance.

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