Pairs trading with fractional Ornstein-Uhlenbeck spread model
Year of publication: |
2023
|
---|---|
Authors: | Xiang, Yun ; Zhao, Yonghong ; Deng, Shijie |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 23, p. 2607-2623
|
Subject: | Fractional Brownian motion | Fractional Ornstein–Uhlenbeck process | high-frequency trading | Pairs trading | statistical arbitrage | Arbitrage | Stochastischer Prozess | Stochastic process | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Portfolio-Management | Portfolio selection | Wertpapierhandel | Securities trading | Finanzanalyse | Financial analysis | Kapitaleinkommen | Capital income |
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