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Optimal pair-trading strategy over long/short/square positions—empirical study - MaRDI portal

Optimal pair-trading strategy over long/short/square positions—empirical study (Q4957233)

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scientific article; zbMATH DE number 7390934
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English
Optimal pair-trading strategy over long/short/square positions—empirical study
scientific article; zbMATH DE number 7390934

    Statements

    title
    Optimal pair-trading strategy over long/short/square positions—empirical study (English)
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    author
    Kiyoshi Suzuki
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    publication date
    3 September 2021
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    zbMATH Keywords
    optimal multiple switching problem
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    switching regions
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    Ornstein-Uhlenbeck process
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    Monte Carlo simulation
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    empirical simulation
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    cointegration
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    pair-trading strategy
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    stub trading
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    cites work
    Q3150773
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    Pairs trading
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    Q4086524
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    Q4840212
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    Q4772511
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    Q3215519
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    Identifiers

    zbMATH DE Number
    7390934
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    OpenAlex ID
    W2747118331
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