A profit model for spread trading with an application to energy futures
Year of publication: |
2011
|
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Authors: | Kanamura, Takashi ; Rachev, Svetlozar T. ; Fabozzi, Frank J. |
Institutions: | Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie |
Subject: | futures spread trading | energy futures markets | mean-reverting process | first hitting | time probability density | profit model | WTI crude oil | heating oil | natural gas |
Extent: | application/pdf |
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Series: | Working Paper Series in Economics. - ISSN 2190-9806. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 27 |
Classification: | C51 - Model Construction and Estimation ; G29 - Financial Institutions and Services. Other ; Q40 - Energy. General |
Source: |
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A profit model for spread trading with an application to energy futures
Kanamura, Takashi, (2011)
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A profit model for spread trading with an application to energy futures
Kanamura, Takashi, (2011)
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