Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes
Year of publication: |
2019
|
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Authors: | Endres, Sylvia ; Stübinger, Johannes |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 29, p. 3153-3169
|
Subject: | Finance | high-frequency data | optimal thresholds | Ornstein-Uhlenbeck Lévy process | pairs trading | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Anlageverhalten | Behavioural finance |
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