PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION (Q2953311)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION |
scientific article |
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PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION (English)
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4 January 2017
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pairs trading
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co-integration
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Kalman filter
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partial information
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stochastic control
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