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~person:"Papanicolaou, George"
~subject:"Risikomanagement"
~subject:"stochastic optimal control"
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stochastic optimal control
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Risk Control of Mean-Reversion Time in Statistical Arbitrage
Yeo, Joongyeub
-
2018
selections and screenings. Realizing that each residual has a different mean-reversion time, the ones that are fast
mean-reverting
…
Persistent link: https://www.econbiz.de/10012935241
Saved in:
2
Limit order trading with a
mean
reverting
reference price
Ahuja, Saran
;
Papanicolaou, George
;
Ren, Weiluo
;
Yang, …
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
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