Speculative trading in mean reverting markets
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Publication:704070
DOI10.1016/j.ejor.2004.01.002zbMath1067.90062MaRDI QIDQ704070
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
Decision analysis; Commodity markets; Mean reverting processes; Optimal strategy; Simulation analysis