ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL (Q5158748)
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scientific article; zbMATH DE number 7413995
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL |
scientific article; zbMATH DE number 7413995 |
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ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL (English)
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26 October 2021
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pairs trading
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threshold rule
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one-dimensional diffusion
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first passage time
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Pearson diffusion
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long-time averaged profit
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asymptotic arbitrage
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