An optimal mean-reversion trading rule under a Markov chain model (Q326803): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 49J40 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J10 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6637802 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
mean-reversion Markovian asset | |||
| Property / zbMATH Keywords: mean-reversion Markovian asset / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
optimal stopping | |||
| Property / zbMATH Keywords: optimal stopping / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
variational inequalities | |||
| Property / zbMATH Keywords: variational inequalities / rank | |||
Normal rank | |||
Revision as of 03:08, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal mean-reversion trading rule under a Markov chain model |
scientific article |
Statements
An optimal mean-reversion trading rule under a Markov chain model (English)
0 references
12 October 2016
0 references
mean-reversion Markovian asset
0 references
optimal stopping
0 references
variational inequalities
0 references
