An optimal mean-reversion trading rule under a Markov chain model (Q326803): Difference between revisions
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID: 49J40 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J10 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6637802 / rank | |||
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mean-reversion Markovian asset | |||
| Property / zbMATH Keywords: mean-reversion Markovian asset / rank | |||
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optimal stopping | |||
| Property / zbMATH Keywords: optimal stopping / rank | |||
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variational inequalities | |||
| Property / zbMATH Keywords: variational inequalities / rank | |||
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Revision as of 04:08, 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 |
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An optimal mean-reversion trading rule under a Markov chain model (English)
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12 October 2016
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mean-reversion Markovian asset
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optimal stopping
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variational inequalities
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