Pairs trading under delayed cointegration
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Publication:5039626
DOI10.1080/14697688.2022.2064760zbMATH Open1498.91425OpenAlexW4229028922MaRDI QIDQ5039626FDOQ5039626
Authors: Tingjin Yan, Mei Choi Chiu, Hoi Ying Wong 
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
Recommendations
stochastic delay differential equationfunctional Itô's calculusmean-variance pairs tradingpath-dependent effect
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15) Stochastic functional-differential equations (34K50)
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Cited In (9)
- Pairs trading with partial cointegration
- Title not available (Why is that?)
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Pairs trading with partial cointegration
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Equilibrium pairs trading under delayed cointegration
- Pairwise trade and coexistence of money and higher-return assets
- Pairs trading with topological data analysis
- Deep impulse control: application to interest rate intervention
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