An optimal mean-reversion trading rule under a Markov chain model (Q326803)
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scientific article; zbMATH DE number 6637802
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| English | An optimal mean-reversion trading rule under a Markov chain model |
scientific article; zbMATH DE number 6637802 |
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An optimal mean-reversion trading rule under a Markov chain model (English)
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12 October 2016
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mean-reversion Markovian asset
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optimal stopping
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variational inequalities
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0.887490451335907
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0.8508398532867432
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0.844554603099823
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0.8259506821632385
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0.8244580626487732
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