Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
From MaRDI portal
Publication:4619518
DOI10.1080/14697688.2017.1417624zbMath1406.91425MaRDI QIDQ4619518
Johannes Stübinger, Sylvia Endres
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1417624
finance; high-frequency data; mean-reversion; jump-diffusion model; pairs trading; statistical arbitrage
91G10: Portfolio theory
Uses Software