Speculative trading in mean reverting markets

DOI10.1016/J.EJOR.2004.01.002MaRDI QIDQ704070zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.01.002

zbMATH Keywords

Decision analysisCommodity marketsMean reverting processesOptimal strategySimulation analysis

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Marketing, advertising (90B60)

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Cites work

• On the Behaviour of Commodity Prices

Cited in

(9)

• Average crossing time: an alternative characterization of mean aversion and reversion
• scientific article; zbMATH DE number 4204078 (Why is no real title available?)
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• Mean reversion versus random walk in oil and natural gas prices
• Optimal trading and competition with information in the price impact model
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