A stochastic model for commodity pairs trading (Q4554248)
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scientific article; zbMATH DE number 6976846
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic model for commodity pairs trading |
scientific article; zbMATH DE number 6976846 |
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A stochastic model for commodity pairs trading (English)
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13 November 2018
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commodity futures
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statistical arbitrage
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pairs trading
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optimal thresholds
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Ornstein-Uhlenbeck Lévy process
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