A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (Q5235460)
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scientific article; zbMATH DE number 7116180
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns |
scientific article; zbMATH DE number 7116180 |
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (English)
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11 October 2019
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finance
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pairs trading
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statistical arbitrage
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Markov regime switching
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Lévy-driven Ornstein-Uhlenbeck process
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high-frequency data
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