Optimal Liquidation of a Pairs Trade (Q5198562)
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scientific article; zbMATH DE number 5936950
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Liquidation of a Pairs Trade |
scientific article; zbMATH DE number 5936950 |
Statements
Optimal Liquidation of a Pairs Trade (English)
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8 August 2011
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pairs trading
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optimal stopping theory
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Ornstein-Uhlenbeck process
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discount factor
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stop-loss barrier
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