Optimal trading strategies—a time series approach

DOI10.1088/1742-5468/2016/05/053209zbMath1456.91114arXiv1509.07953OpenAlexW3100036446MaRDI QIDQ3302654

Reimer Kühn, Peter A. Bebbington

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.07953

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Portfolio theory (91G10)

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