Albert Dorador

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

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On the Effectiveness of Stop-Loss Rules: An Analytical Framework Based on Modeling Overnight Gaps and the Stationary Bootstrap

Number of pages: 24 Posted: 16 Dec 2017
Argimiro Arratia and Albert Dorador
Polytechnic University of Catalonia (UPC) and European Central Bank (ECB)
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Abstract:

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Stop-loss, Risk Management, Financial Modeling, Overnight Gap, Bootstrap