Pairs trading with illiquidity and position limits (Q2244254)

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Pairs trading with illiquidity and position limits
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    Statements

    title
    Pairs trading with illiquidity and position limits (English)
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    author
    Menglu Feng
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    Mei Choi Chiu
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    Hoi Ying Wong
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    publication date
    12 November 2021
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    zbMATH Keywords
    cointegration
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    liquidity
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    pairs trading
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    position limits
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    singular control problem
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    Identifiers

    DOI
    10.3934/jimo.2019090
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    zbMATH DE Number
    7425093
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