Costly arbitrage through pairs trading
Yaoting Lei, Jing Xu
| Year of publication: |
July 2015
|
|---|---|
| Authors: | Lei, Yaoting ; Xu, Jing |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 56.2015, p. 1-19
|
| Subject: | Pairs trading | Risky arbitrage | Delta-neutral strategies | Transaction costs | Transaktionskosten | Arbitrage | Theorie | Theory | Portfolio-Management | Portfolio selection | Arbitrage Pricing | Arbitrage pricing | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2015.04.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011574546