A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
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Publication:5235460
DOI10.1080/14697688.2019.1585562zbMath1422.91801OpenAlexW2904952714MaRDI QIDQ5235460
Sylvia Endres, Johannes Stübinger
Publication date: 11 October 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/178766
financehigh-frequency datapairs tradingMarkov regime switchingstatistical arbitrageLévy-driven Ornstein-Uhlenbeck process
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Bertram's pairs trading strategy with bounded risk, A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
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Cites Work
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