Pairs trading under delayed cointegration (Q5039626)
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scientific article; zbMATH DE number 7595440
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pairs trading under delayed cointegration |
scientific article; zbMATH DE number 7595440 |
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Pairs trading under delayed cointegration (English)
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30 September 2022
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mean-variance pairs trading
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stochastic delay differential equation
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functional Itô's calculus
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path-dependent effect
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0.8809846043586731
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0.8116217851638794
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0.8110024929046631
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0.7989040613174438
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0.7989040613174438
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