Bertram's pairs trading strategy with bounded risk

DOI10.1007/s10100-021-00763-4OpenAlexW3184991856MaRDI QIDQ2673290

Michal Černý, Vladimír Holý

Publication date: 9 June 2022

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.04160

zbMATH Keywords

Ornstein-Uhlenbeck processhigh-frequency tradingpairs tradingbounded risk tradingfinancial data stream

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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