Optimal trading of a basket of futures contracts (Q2191860): Difference between revisions
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Property / arXiv ID: 1910.04943 / rank | |||
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Property / cites work: Optimal dynamic basis trading / rank | |||
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Property / cites work: Q3160497 / rank | |||
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Property / cites work: Controlled Markov processes and viscosity solutions / rank | |||
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Property / cites work: Q4002114 / rank | |||
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Property / cites work: Speculative futures trading under mean reversion / rank | |||
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Property / cites work: Riccati differential equations / rank | |||
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Property / Wikidata QID: Q126420540 / rank | |||
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Latest revision as of 21:52, 25 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Optimal trading of a basket of futures contracts |
scientific article |
Statements
Optimal trading of a basket of futures contracts (English)
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26 June 2020
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futures
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stochastic basis
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Brownian bridge
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utility maximization
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