Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (Q2307598)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses |
scientific article |
Statements
Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (English)
0 references
24 March 2020
0 references
pairs trading
0 references
optimal control
0 references
Brownian motions
0 references
