Grebenkov, Denis S.; Serror, Jeremy - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 288-303
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean, variance, skewness and kurtosis) and asymptotic behavior...