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Cites work
Cited in
(18)- Costly arbitrage through pairs trading
- Pairs trading with illiquidity and position limits
- Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
- An optimal pairs-trading rule
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- Optimal closing of a pair trade with a model containing jumps.
- Model-based pairs trading in the bitcoin markets
- Pairs trading: an optimal selling rule under a regime switching model
- Pairs trading under delayed cointegration
- Pairs trading under geometric Brownian motion models
- scientific article; zbMATH DE number 7514018 (Why is no real title available?)
- On optimal thresholds for pairs trading in a one-dimensional diffusion model
- Optimal liquidation of a pairs trade
- Pairs trading: optimal thresholds and profitability
- A regime-switching relative value arbitrage rule
- Pairs trading with opportunity cost
- Pairs trading
- Loss protection in pairs trading through minimum profit bounds: A cointegration approach
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