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Quantitative Finance Volume 10, 2010 - Issue 1
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Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap

Jessica James Foreign Exchange Quantitative Investor Solutions (QIS), Citigroup, London, UK
&
Louis Yang Foreign Exchange Quantitative Investor Solutions (QIS), Citigroup, London, UKCorrespondence[email protected]
Pages 1-12 | Received 19 Nov 2009, Accepted 16 Dec 2009, Published online: 15 Jan 2010

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Read on this site (2)

Argimiro Arratia & Albert Dorador. (2019) On the efficacy of stop-loss rules in the presence of overnight gaps. Quantitative Finance 19:11, pages 1857-1873.
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María José Muñoz Torrecillas, Rossitsa Yalamova & Bill McKelvey. (2016) Identifying the Transition from Efficient-Market to Herding Behavior: Using a Method from Econophysics. Journal of Behavioral Finance 17:2, pages 157-182.
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Articles from other publishers (10)

Mohsin Sadaqat & Hilal Anwar Butt. (2023) Stop-loss rules and momentum payoffs in cryptocurrencies. Journal of Behavioral and Experimental Finance 39, pages 100833.
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Hans Geboers, Benoît Depaire & Jan Annaert. (2022) A review on drawdown risk measures and their implications for risk management. Journal of Economic Surveys 37:3, pages 865-889.
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Safwan Mohd Nor, Nur Haiza Muhammad Zawawi, Guneratne Wickremasinghe & Zairihan Abdul Halim. (2023) Is Technical Analysis Profitable on Renewable Energy Stocks? Evidence from Trend-Reinforcing, Mean-Reverting and Hybrid Fractal Trading Systems. Axioms 12:2, pages 127.
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Nils Helms, Reinhold Hölscher & Matthias Nelde. (2021) Automated investment management: Comparing the design and performance of international robo‐managers. European Financial Management 28:4, pages 1028-1078.
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Jędrzej Białkowski. (2020) Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules. Economics Letters 191, pages 108834.
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Long Bai & Peng Liu. (2018) Drawdown and Drawup for Fractional Brownian Motion with Trend. Journal of Theoretical Probability 32:3, pages 1581-1612.
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David Louton, Joseph McCarthy, Stephen Rush, Hakan Saraoglu & Ognjen Sosa. (2015) Tactical asset allocation for US pension investors: How tactical should the plan be?. Journal of Asset Management 16:7, pages 427-436.
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Philippe Dupuy & Abdelak Adjriou. (2015) Innovative currency risk management: The new life of the monetary model. Journal of Asset Management 16:6, pages 374-385.
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Argimiro Arratia & Albert Dorador. (2017) On the Effectiveness of Stop-Loss Rules: An Analytical Framework Based on Modeling Overnight Gaps and the Stationary Bootstrap. SSRN Electronic Journal.
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David A. Louton, Joseph McCarthy, Stephen Rush, Hakan Saraoglu & Ognjen Sosa. (2015) Tactical Asset Allocation for U.S. Pension Investors: How Tactical Should the Plan Be?. SSRN Electronic Journal.
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