Optimal pair-trading strategy over long/short/square positions -- empirical study (Q4957233)
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: Optimal pair-trading strategy over long/short/square positions -- empirical study |
scientific article; zbMATH DE number 7390934
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal pair-trading strategy over long/short/square positions -- empirical study |
scientific article; zbMATH DE number 7390934 |
Statements
Optimal pair-trading strategy over long/short/square positions—empirical study (English)
0 references
3 September 2021
0 references
optimal multiple switching problem
0 references
switching regions
0 references
Ornstein-Uhlenbeck process
0 references
Monte Carlo simulation
0 references
empirical simulation
0 references
cointegration
0 references
pair-trading strategy
0 references
stub trading
0 references
0.9945605993270874
0 references
0.8342171907424927
0 references
0.8292873501777649
0 references
0.8229015469551086
0 references
0.8042544722557068
0 references
