Abramov, V.; Khan, M. K.; Khan, R. A. - In: Quantitative Finance 8 (2008) 5, pp. 499-512
We provide analytic models for which the appropriate statistics of the trading the line strategy, Nh, can be derived in closed form. In particular, we provide closed-form expressions concerning the average duration of the open position, E(Nh), the variance of the open duration, Var(Nh), the...