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Persistent link: https://www.econbiz.de/10003522928

Überführung von quantitativem Research in implementierbare Handelsstrategien : Möglichkeiten und Grenzen der Automatisierung

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Liquidity, trading, and trading costs

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A profit model for spread trading with an application to energy futures

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Persistent link: https://www.econbiz.de/10003931729

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - 2011

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...