Statistical arbitrage strategy in multi-asset market using time series analysis
Year of publication: |
2020
|
---|---|
Authors: | Imai, Takahiro ; Nakagawa, Kei |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 10.2020, 2, p. 334-344
|
Subject: | Statistical Arbitrage Strategy | Asset Allocation | Mean Reverting Portfolio | Portfolio-Management | Portfolio selection | Theorie | Theory | Arbitrage | Zeitreihenanalyse | Time series analysis |
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