A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES (Q5854328)
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scientific article; zbMATH DE number 7323559
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES |
scientific article; zbMATH DE number 7323559 |
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A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES (English)
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16 March 2021
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market making
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pairs trading
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optimal execution
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statistical arbitrage
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Ornstein-Uhlenbeck process
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