Optimal Trading with a Trailing Stop
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion fra...
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| Published in | Applied mathematics & optimization Vol. 83; no. 2; pp. 669 - 698 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York
Springer US
01.04.2021
Springer Nature B.V |
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| Online Access | Get full text |
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| Abstract | Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. |
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| AbstractList | Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing to buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first analytically solve the optimal liquidation problem with a trailing stop, and in turn derive the optimal timing to buy the asset. Our method of solution reduces the problem of determining the optimal trading regions to solving the associated differential equations. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein–Uhlenbeck model. |
| Author | Zhang, Hongzhong Leung, Tim |
| Author_xml | – sequence: 1 givenname: Tim surname: Leung fullname: Leung, Tim email: timleung@uw.edu organization: Department of Applied Mathematics, University of Washington – sequence: 2 givenname: Hongzhong surname: Zhang fullname: Zhang, Hongzhong organization: IEOR Department, Columbia University |
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| Cites_doi | 10.1214/aop/1176995770 10.1239/aap/1427814588 10.1007/s10957-010-9662-9 10.1111/j.1467-9965.1992.tb00040.x 10.1007/s11009-011-9262-7 10.1287/mnsc.41.6.1096 10.1142/S021902491550020X 10.1007/s11537-007-0662-y 10.3233/RDA-140107 10.1007/978-3-0348-8163-0 10.1137/090770552 10.1080/15326349.2015.1058717 10.1016/S0377-0427(00)00347-2 10.1111/j.1467-9965.2011.00508.x 10.1016/j.cor.2004.06.001 10.1214/14-AAP1078 10.1080/14697688.2012.730624 10.1137/130911706 10.1016/j.automatica.2007.11.003 10.1016/S0304-4149(03)00076-0 10.1214/aoap/1177005355 10.1137/100809386 10.1214/17-AAP1322 10.1007/s10436-018-0336-1 10.1007/s00780-017-0343-5 |
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| Keywords | Stop loss C41 Trailing stop Optimal stopping 62L15 60G40 G11 91G20 Stochastic floor 91G80 Drawdown C61 |
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| SubjectTerms | Calculus of Variations and Optimal Control; Optimization Control Differential equations Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Numerical and Computational Physics Optimization Portfolio management Sensitivity analysis Simulation Systems Theory Theoretical |
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| Title | Optimal Trading with a Trailing Stop |
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