Optimal pair-trading strategy over long/short/square positions—empirical study (Q4554412): Difference between revisions

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Latest revision as of 09:02, 17 July 2024

scientific article; zbMATH DE number 6979449
Language Label Description Also known as
English
Optimal pair-trading strategy over long/short/square positions—empirical study
scientific article; zbMATH DE number 6979449

    Statements

    Optimal pair-trading strategy over long/short/square positions—empirical study (English)
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    14 November 2018
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    optimal multiple switching problem
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    switching regions
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    Ornstein-Uhlenbeck process
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    Monte Carlo simulation
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    empirical simulation
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    cointegration
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    pair-trading strategy
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    stub trading
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