Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316)
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scientific article; zbMATH DE number 6573354
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal switching for the pairs trading rule: a viscosity solutions approach |
scientific article; zbMATH DE number 6573354 |
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Optimal switching for the pairs trading rule: a viscosity solutions approach (English)
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25 April 2016
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pairs trading
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optimal switching
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mean-reverting process
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viscosity solutions
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