A closed-form solution for optimal mean-reverting trading strategies
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
CLICK HERE TO VIEW THE PDF
All market makers are confronted with the problem of defining profit-taking and stop-out levels. More generally, all execution traders holding a particular position for a client must determine at what levels an order needs to be fulfilled. Those optimal levels can be ascertained by maximising the trader’s Sharpe ratio in the context of Ornstein-Uhlenbeck processes via Monte Carlo experiments. In this article, Alex Lipton and Marcos Lopez de Prado develop an analytical
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Investments
7 days in 60 seconds
SA-CCR, SOFR lending and model approval
The week on Risk.net, November 21-27, 2020
Receive this by email