Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Johannes Stübinger and Sylvia Endres
| Year of publication: |
2018
|
|---|---|
| Authors: | Stübinger, Johannes ; Endres, Sylvia |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 10, p. 1735-1751
|
| Subject: | Finance | High-frequency data | Jump-diffusion model | Mean-reversion | Pairs trading | Statistical arbitrage | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Arbitrage | Portfolio-Management | Portfolio selection | Marktmikrostruktur | Market microstructure | Mean Reversion | Mean reversion | Optionspreistheorie | Option pricing theory | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1417624 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012261908