An optimal mean-reversion trading rule under a Markov chain model (Q326803): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:59, 5 March 2024
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
