Equilibrium pairs trading under delayed cointegration
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Cited in
(9)- Pairwise trade and coexistence of money and higher-return assets
- Basket trading under co-integration with the logistic mixture autoregressive model
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Pairs trading under delayed cointegration
- Mean-variance portfolio selection of cointegrated assets
- Dynamic trading with Markov liquidity switching
- Deep impulse control: application to interest rate intervention
- Wage rigidity and retirement in optimal portfolio choice
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