Equilibrium pairs trading under delayed cointegration

DOI10.1016/J.AUTOMATICA.2022.110498zbMath1498.91409OpenAlexW4288080361MaRDI QIDQ2166010

Tingjin Yan, Hoi Ying Wong

Publication date: 23 August 2022

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2022.110498

zbMATH Keywords

time inconsistencystochastic delay differential equationpairs tradingmean-variance portfolio

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Portfolio theory (91G10)

Related Items (2)

Dynamic trading with Markov liquidity switching ⋮ Deep impulse control: application to interest rate intervention

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