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Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses - MaRDI portal

Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (Q2307598)

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Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
scientific article

    Statements

    title
    Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (English)
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    author
    Ruyi Liu
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    Zhen Wu
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    Qing Zhang
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    published in
    Automatica
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    publication date
    24 March 2020
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    zbMATH Keywords
    pairs trading
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    optimal control
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    Brownian motions
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    Identifiers

    zbMATH DE Number
    7181580
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    OpenAlex ID
    W3007642575
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