Dynamic pairs trading using the stochastic control approach (Q1994134)
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scientific article; zbMATH DE number 6970126
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic pairs trading using the stochastic control approach |
scientific article; zbMATH DE number 6970126 |
Statements
Dynamic pairs trading using the stochastic control approach (English)
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1 November 2018
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optimal stochastic control
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pairs trading
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co-integration
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Hamilton Jacobi Bellman equation
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Merton problem
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