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Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
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Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
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Statistics of VIX futures and applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, A. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012012774