Optimal pairs trading with time-varying volatility
Year of publication: |
September 2016
|
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Authors: | Li, Thomas Nanfeng ; Tourin, Agnès |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 3, p. 1-29
|
Subject: | Stochastic control | pairs trading | cointegration | constant elasticity of variance | statistical arbitrage | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Arbitrage | Volatilität | Volatility | Hedging | Kointegration | Cointegration | Kapitaleinkommen | Capital income |
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