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The following pages link to Optimal pair-trading strategy over long/short/square positions—empirical study (Q4554412):

Displaying 2 items.

Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach (Q4991679) (← links)
A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES (Q5854328) (← links)

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