Pairs trading with illiquidity and position limits

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Publication:2244254

DOI10.3934/JIMO.2019090zbMath1476.91148OpenAlexW2963049383MaRDI QIDQ2244254

Hoi Ying Wong, Mei Choi Chiu, Menglu Feng

Publication date: 12 November 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019090







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