SEMINARS
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Spring 2008
STATISTICS
COLLOQUIUM
Wednesday, April 26, 2008
3:30-4:00—Refreshments, Yost 327
4:00-5:00—Talk,
Yost 101
Mohammad Kazim Khan, PhD
Professor, Department of Mathematical Sciences
Kent State University
CUSUM Stopping Rule & Financial Trading
Due to the availability of electronic trading facilities, algorithm based strategies are being used with increasing frequencies. In this talk I will try to present some recent results on the analysis of one of the most popular trading strategies, called the ``trailing stops'' strategy (also known as ``trading the line'' strategy). From the Statistics perspective this strategy is equivalent to the famous CUSUM stopping rule, popularized by E. S. Page in quality control settings. Besides some new results, I will also list a few still open problems.
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