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A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES - MaRDI portal

A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES (Q5854328)

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scientific article; zbMATH DE number 7323559
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A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES
scientific article; zbMATH DE number 7323559

    Statements

    title
    A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES (English)
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    publication date
    16 March 2021
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    zbMATH DE Number
    7323559
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    zbMATH Keywords
    market making
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    pairs trading
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    optimal execution
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    statistical arbitrage
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    Ornstein-Uhlenbeck process
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    arXiv ID
    2003.10502
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    OpenAlex ID
    W3111020180
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