An optimal mean-reversion trading rule under a Markov chain model (Q326803)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6637802
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An optimal mean-reversion trading rule under a Markov chain model |
scientific article; zbMATH DE number 6637802 |
Statements
An optimal mean-reversion trading rule under a Markov chain model (English)
0 references
12 October 2016
0 references
mean-reversion Markovian asset
0 references
optimal stopping
0 references
variational inequalities
0 references
0.887490451335907
0 references
0.8508398532867432
0 references
0.844554603099823
0 references
0.8259506821632385
0 references
0.8244580626487732
0 references
