Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (Q2307598)
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scientific article; zbMATH DE number 7181580
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| default for all languages | No label defined |
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| English | Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses |
scientific article; zbMATH DE number 7181580 |
Statements
Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (English)
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24 March 2020
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pairs trading
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optimal control
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Brownian motions
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0.9259960651397704
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0.8809646964073181
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0.8707391619682312
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0.8533099293708801
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0.8425230383872986
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