Robust dynamic pairs trading with cointegration
Year of publication: |
March 2018
|
---|---|
Authors: | Chiu, Mei Choi ; Wong, Hoi Ying |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 46.2018, 2, p. 225-232
|
Subject: | Cointegration | Pairs trading | Robust decision rule | Theorie | Theory | Kointegration | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection |
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