Equilibrium pairs trading under delayed cointegration (Q2166010)

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Equilibrium pairs trading under delayed cointegration
scientific article

    Statements

    title
    Equilibrium pairs trading under delayed cointegration (English)
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    author
    Tingjin Yan
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    Hoi Ying Wong
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    published in
    Automatica
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    publication date
    23 August 2022
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    zbMATH Keywords
    mean-variance portfolio
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    pairs trading
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    stochastic delay differential equation
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    time inconsistency
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    Identifiers

    zbMATH DE Number
    7574319
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