Pairs trading under transaction costs using model predictive control
James A. Primbs and Yuji Yamada
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Primbs, James A. ; Yamada, Yuji |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 885-895
|
| Subject: | Anlageverhalten | Behavioural finance | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Prognoseverfahren | Forecasting model | Japan | 2013-2016 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1374549 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011907977