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~subject:"Forecasting model"
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji
;
Primbs, James A.
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Asia-Pacific financial markets
25
(
2018
)
1
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pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
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Pairs trading under transaction costs using model predictive control
Primbs, James A.
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Yamada, Yuji
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Quantitative finance
18
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2018
)
6
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pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
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Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market
Matsumoto, Takuji
;
Yamada, Yuji
- In:
Asia-Pacific financial markets
26
(
2019
)
2
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pp. 211-227
Persistent link: https://www.econbiz.de/10012308054
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