Analytic value function for optimal regime-switching pairs trading rules (Q4554446)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Analytic value function for optimal regime-switching pairs trading rules |
scientific article; zbMATH DE number 6979482
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Analytic value function for optimal regime-switching pairs trading rules |
scientific article; zbMATH DE number 6979482 |
Statements
Analytic value function for optimal regime-switching pairs trading rules (English)
0 references
14 November 2018
0 references
pairs trading
0 references
regime-switching
0 references
optimal thresholds
0 references
Markov-modulated O-U process
0 references
double boundary stopping time
0 references
0 references
0 references
0 references
0 references
0 references
0.8256967663764954
0 references
0.8000174760818481
0 references
0.7963811159133911
0 references
0.795802891254425
0 references
0.7850980162620544
0 references
