Equilibrium pairs trading under delayed cointegration (Q2166010)
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scientific article; zbMATH DE number 7574319
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Equilibrium pairs trading under delayed cointegration |
scientific article; zbMATH DE number 7574319 |
Statements
Equilibrium pairs trading under delayed cointegration (English)
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23 August 2022
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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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0.8809846043586731
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0.8474119901657104
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0.8018691539764404
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0.7998409867286682
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0.7926307320594788
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