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

DOI10.1142/S0219024920500569zbMath1457.91361arXiv2003.10502OpenAlexW3111020180MaRDI QIDQ5854328

Marcos López de Prado, Alexander Lipton-Lifschitz

Publication date: 16 March 2021

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

Full work available at URL: https://arxiv.org/abs/2003.10502

zbMATH Keywords

Ornstein-Uhlenbeck processoptimal executionpairs tradingmarket makingstatistical arbitrage

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Related Items

TRADING MULTIPLE MEAN REVERSION

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