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Model-based pairs trading in the bitcoin markets - MaRDI portal

Model-based pairs trading in the bitcoin markets (Q4555101)

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scientific article; zbMATH DE number 6981220
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English
Model-based pairs trading in the bitcoin markets
scientific article; zbMATH DE number 6981220

    Statements

    title
    Model-based pairs trading in the bitcoin markets (English)
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    publication date
    19 November 2018
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    zbMATH Keywords
    stochastic control
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    pairs trading
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    Merton problem
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    cointegration
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    statistical arbitrage
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    Identifiers

    zbMATH DE Number
    6981220
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    OpenAlex ID
    W2547953409
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