MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS

DOI10.1142/S0219024918500048zbMath1395.91411arXiv1707.03498OpenAlexW2963302455MaRDI QIDQ4608111

Yerkin Kitapbayev, Tim Leung

Publication date: 15 March 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.03498

zbMATH Keywords

optimal stoppinglocal timemean reversionfree-boundary problemspread trading

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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