Pairs Trading under Geometric Brownian Motion Models

DOI10.1007/978-3-030-98519-6_15zbMath1504.91305OpenAlexW4226213408MaRDI QIDQ5050093

Jingzhi Tie, Phong Thanh Luu, Qing Zhang

Publication date: 15 November 2022

Published in: Stochastic Analysis, Filtering, and Stochastic Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-98519-6_15

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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