Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15
A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...