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Trading co‐integrated assets with price impact - MaRDI portal

Trading co‐integrated assets with price impact (Q5377183)

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scientific article; zbMATH DE number 7058332
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English
Trading co‐integrated assets with price impact
scientific article; zbMATH DE number 7058332

    Statements

    title
    Trading co‐integrated assets with price impact (English)
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    author
    Álvaro Cartea
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    Luhui Gan
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    Sebastian Jaimungal
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    publication date
    23 May 2019
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    zbMATH Keywords
    algorithmic trading
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    co-integration
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    co-movements
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    cross-price impact
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    optimal execution
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    price impact
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    Identifiers

    zbMATH DE Number
    7058332
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    OpenAlex ID
    W2962782348
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    arXiv ID
    1807.01428
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    Wikidata QID
    Q129425472
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    DOI
    10.1111/MAFI.12181
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