Speculative trading in mean reverting markets

DOI10.1016/J.EJOR.2004.01.002zbMATH Open1067.90062OpenAlexW2050217891MaRDI QIDQ704070FDOQ704070

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

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zbMATH Keywords

Decision analysisCommodity marketsMean reverting processesOptimal strategySimulation analysis

Mathematics Subject Classification ID

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

Cites Work

• On the Behaviour of Commodity Prices

Cited In (9)

• Title not available (Why is that?)
• Trading probabilities along cycles
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Mean reversion versus random walk in oil and natural gas prices
• Optimal trading and competition with information in the price impact model
• Speculative futures trading under mean reversion
• TRADING MULTIPLE MEAN REVERSION
• Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage
• Average crossing time: an alternative characterization of mean aversion and reversion

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