An optimal pairs-trading rule (Q2350749)

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An optimal pairs-trading rule
scientific article

    Statements

    title
    An optimal pairs-trading rule (English)
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    author
    Qingshuo Song
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    Qing Zhang
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    published in
    Automatica
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    publication date
    25 June 2015
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    zbMATH Keywords
    pairs trading
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    optimal stopping
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    quasi-variational inequalities
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    mean-reverting process
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    91G10
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    49J40
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    zbMATH DE Number
    6450248
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