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Optimal Liquidation of a Pairs Trade - MaRDI portal

Optimal Liquidation of a Pairs Trade (Q5198562)

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scientific article; zbMATH DE number 5936950
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Optimal Liquidation of a Pairs Trade
scientific article; zbMATH DE number 5936950

    Statements

    title
    Optimal Liquidation of a Pairs Trade (English)
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    author
    Erik Ekström
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    Carl Lindberg
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    Johan Tysk
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    publication date
    8 August 2011
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    zbMATH Keywords
    pairs trading
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    optimal stopping theory
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    Ornstein-Uhlenbeck process
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    discount factor
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    stop-loss barrier
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    Identifiers

    zbMATH DE Number
    5936950
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    OpenAlex ID
    W1489316505
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