Analytic value function for optimal regime-switching pairs trading rules (Q4554446)
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scientific article; zbMATH DE number 6979482
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Analytic value function for optimal regime-switching pairs trading rules |
scientific article; zbMATH DE number 6979482 |
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Analytic value function for optimal regime-switching pairs trading rules (English)
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14 November 2018
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pairs trading
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regime-switching
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optimal thresholds
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Markov-modulated O-U process
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double boundary stopping time
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0.8256967663764954
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0.8000174760818481
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0.7963811159133911
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0.795802891254425
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0.7850980162620544
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