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Pairs trading with general state space models
Zhang, Guang
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
Saved in:
2
Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
Saved in:
3
Efficient computation of
mean
reverting
portfolios using cyclical coordinate descent
Griveau-Billion, T.
;
Calderhead, Ben
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 673-684
Persistent link: https://www.econbiz.de/10012483845
Saved in:
4
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
Isaenko, Sergei
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2051-2065
Persistent link: https://www.econbiz.de/10012262965
Saved in:
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