2021, Vol. 2, Issue 1, Part A
A note on: Stop loss and take profit using up-crossings
Author(s): Reza Habibi
Abstract: There are many trading strategies in foreign exchange market. These strategies have some pre-determined parameters such as stop loss and take profit thresholds. Determination of these parameters makes a tradeoff between risk and returns of trader. In this paper, using the up-crossing concept of stochastic process field, these parameters are determined. First, for return based up-crossings, mixture, limiting and exact distributions and related stop-loss and take profit strategies are derived. Then, another formulation using Ross method and optimal stopping are presented to study the price based up-crossings. Simulations are given and conclusions show the economic importance of this research.
Pages: 60-65 | Views: 928 | Downloads: 577
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How to cite this article:
Reza Habibi. A note on: Stop loss and take profit using up-crossings. Journal of Mathematical Problems, Equations and Statistics. 2021; 2(1): 60-65.