OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (Q5256839)
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scientific article; zbMATH DE number 6452371
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT |
scientific article; zbMATH DE number 6452371 |
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OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (English)
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29 June 2015
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optimal double stopping
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mean reversion trading
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Ornstein-Uhlenbeck process
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stop-loss
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