Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L25 / rank | |||
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / zbMATH DE Number: 6573354 / rank | |||
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pairs trading | |||
| Property / zbMATH Keywords: pairs trading / rank | |||
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optimal switching | |||
| Property / zbMATH Keywords: optimal switching / rank | |||
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mean-reverting process | |||
| Property / zbMATH Keywords: mean-reverting process / rank | |||
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viscosity solutions | |||
| Property / zbMATH Keywords: viscosity solutions / rank | |||
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Revision as of 16:24, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal switching for the pairs trading rule: a viscosity solutions approach |
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Optimal switching for the pairs trading rule: a viscosity solutions approach (English)
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25 April 2016
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pairs trading
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optimal switching
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mean-reverting process
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viscosity solutions
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