1. на рынке акций стоп-лосс не спасает от ?джампов?
The word «jump» should not be misleading. I consider relatively large time intervals (e.g. 1 day), i.e. C(t) is the price increment within one day. By «jumps» I mean the large price changes, e.g. more than (alpha + 4*sigma). They may not happen instanteneously. If they may, ... well, the stock is not liquid enough J
2. пробовали ли Вы РЕВАЛЬНО построить описанную Вами модель для какого-нибудь ценового ряда?
I use more complicated models with memory effects (when the present variance depends on past returns and variances). The example is GARCH model. The jump model is rather primitive, it does not explain many of the observed features at financial market. But it is the simplest model, which illustrates the possible usage of stop-loss for making the profit.
Actually, I am interested in your experience at Russian market. Do you think that the «jump» idea can be relevant for some Russian stocks (e.g. for EESR)? Thanks.
