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~subject:"Behavioural finance"
~subject:"Derivat"
~subject:"Empirical simulations"
~type_genre:"Article in journal"
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji
;
Primbs, James A.
- In:
Asia-Pacific financial markets
25
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
Saved in:
2
Pairs trading under transaction costs using model predictive control
Primbs, James A.
;
Yamada, Yuji
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
Saved in:
3
Trader behavior and its effect on asset price dynamics
Primbs, James A.
;
Rathinam, Muruhan
- In:
Applied mathematical finance
16
(
2009
)
1/2
,
pp. 151-181
Persistent link: https://www.econbiz.de/10003847155
Saved in:
4
A moment computation algorithm for the error in discrete dynamic hedging
Primbs, James A.
;
Yamada, Yuji
- In:
Journal of banking & finance
30
(
2006
)
2
,
pp. 519-540
Persistent link: https://www.econbiz.de/10003291317
Saved in:
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