Pairs trading under delayed cointegration
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Publication:5039626
DOI10.1080/14697688.2022.2064760zbMath1498.91425MaRDI QIDQ5039626
Hoi Ying Wong, Mei Choi Chiu, Tingjin Yan
Publication date: 30 September 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2064760
stochastic delay differential equation; functional Itô's calculus; mean-variance pairs trading; path-dependent effect
34K50: Stochastic functional-differential equations
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
91G15: Financial markets
Uses Software