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PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION - MaRDI portal

PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION (Q4555856)

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scientific article; zbMATH DE number 6983646
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English
PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION
scientific article; zbMATH DE number 6983646

    Statements

    title
    PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION (English)
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    author
    Sühan Altay
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    Katia Colaneri
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    Zehra Eksi
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    publication date
    23 November 2018
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    zbMATH Keywords
    pairs trading
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    regime-switching
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    partial information
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    cites work
    Q4323296
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    Pairs trading
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    Q5520962
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    Q4856610
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    Optimal Investment
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    Q2897328
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    60G35
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    zbMATH DE Number
    6983646
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    arXiv ID
    1704.06697
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