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Systematic risk in pairs trading and dynamic parameterization - MaRDI portal

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Systematic risk in pairs trading and dynamic parameterization (Q2036933)

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scientific article; zbMATH DE number 7365126
Language Label Description Also known as
English
Systematic risk in pairs trading and dynamic parameterization
scientific article; zbMATH DE number 7365126

    Statements

    title
    Systematic risk in pairs trading and dynamic parameterization (English)
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    author
    Yiyun Li
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    Keith K. F. Law
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    publication date
    30 June 2021
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    zbMATH Keywords
    pairs trading
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    systematic risk
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    cointegration
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    Kalman filter
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    dynamic threshold
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    cites work
    Pairs trading
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    Identifiers

    zbMATH DE Number
    7365126
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    OpenAlex ID
    W3143885557
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