Pairs trading under delayed cointegration
From MaRDI portal
Publication:5039626
DOI10.1080/14697688.2022.2064760zbMath1498.91425OpenAlexW4229028922MaRDI QIDQ5039626
Tingjin Yan, Hoi Ying Wong, Mei Choi Chiu
Publication date: 30 September 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2064760
stochastic delay differential equationfunctional Itô's calculusmean-variance pairs tradingpath-dependent effect
Stochastic functional-differential equations (34K50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)
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