The following pages link to An optimal pairs-trading rule (Q2350749):
Displaying 8 items.
- Optimal switching strategy of a mean-reverting asset over multiple regimes (Q259389) (← links)
- Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316) (← links)
- An optimal mean-reversion trading rule under a Markov chain model (Q326803) (← links)
- Optimal debt ratio and consumption strategies in financial crisis (Q495747) (← links)
- Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods (Q681935) (← links)
- An optimal strategy for pairs trading under geometric Brownian motions (Q1626514) (← links)
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (Q1627827) (← links)
- Switching between a pair of stocks: an optimal trading rule (Q2001567) (← links)
