英文标题：
《Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and
application to trading strategies with trailing stops》
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作者：
Grigory Temnov
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最新提交年份：
2015
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英文摘要：
We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy and overview the hypothetical results in application to currency pairs trading. The proposed methodology relies on the assumption that processes reflecting the dynamics of currency exchange rates are in a certain sense similar to the class of Ornstein-Uhlenbeck processes and exhibits the mean reverting property. In order to describe the quantitative characteristics of the projected return of the strategy, we derive the explicit expression for the running maximum of the Ornstein-Uhlenbeck process stopped at maximum drawdown and look at the correspondence between derived characteristics and the observed ones.
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中文摘要：
我们提出了一种自动交易策略，概述了该策略盈利能力的理论依据，并概述了应用于货币对交易的假设结果。所提出的方法依赖于这样一个假设，即反映货币汇率动态的过程在某种意义上类似于Ornstein-Uhlenbeck过程，并表现出均值回复特性。为了描述该策略预期收益的量化特征，我们推导了在最大水位下降时停止的Ornstein-Uhlenbeck过程的运行最大值的显式表达式，并查看了导出的特征与观察到的特征之间的对应关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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