Pairs trading under delayed cointegration
Tingjin Yan, Mei Choi Chiu and Hoi Ying Wong
| Year of publication: |
2022
|
|---|---|
| Authors: | Yan, Tingjin ; Chiu, Mei Choi ; Wong, Hoi Ying |
| Subject: | Functional Itô's calculus | Mean-variance pairs trading | Path-dependent effect | Stochastic delay differential equation | Stochastischer Prozess | Stochastic process | Theorie | Theory | Analysis | Mathematical analysis | Portfolio-Management | Portfolio selection | Kointegration | Cointegration |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2064760 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367938