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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
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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
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