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This paper applies two statistical arbitrage algorithms on the U.S. equities market, using daily historical prices from January 2005 to March 2012. The algorithms construct portfolios using two different frameworks, namely, the Vasicek model and co-integration approach, with a Markov...
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may be formulated via BSDE theory in terms of the amount of money invested, the portfolio proportion, or the number of …
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We consider the financial hedging problem of a firm whose operational cash flow from its inventory operation is …
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