Optimal pair-trading strategy over long/short/square positions -- empirical study (Q4554412)
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scientific article; zbMATH DE number 6979449
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| English | Optimal pair-trading strategy over long/short/square positions -- empirical study |
scientific article; zbMATH DE number 6979449 |
Statements
Optimal pair-trading strategy over long/short/square positions—empirical study (English)
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14 November 2018
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optimal multiple switching problem
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switching regions
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Ornstein-Uhlenbeck process
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Monte Carlo simulation
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empirical simulation
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cointegration
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pair-trading strategy
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stub trading
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0.9945605993270874
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0.8349560499191284
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0.8255905508995056
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0.8216540217399597
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0.805282473564148
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