A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES
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Publication:5854328
DOI10.1142/S0219024920500569zbMath1457.91361arXiv2003.10502MaRDI QIDQ5854328
Alexander Lipton-Lifschitz, Marcos López de Prado
Publication date: 16 March 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.10502
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G15: Financial markets