Speculative trading in mean reverting markets

DOI10.1016/j.ejor.2004.01.002zbMath1067.90062OpenAlexW2050217891MaRDI QIDQ704070

D. Kharzeev

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.002

zbMATH Keywords

Decision analysisCommodity marketsMean reverting processesOptimal strategySimulation analysis

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Marketing, advertising (90B60)

Related Items (1)

Dynamic modeling of mean-reverting spreads for statistical arbitrage

Cites Work

• On the Behaviour of Commodity Prices

This page was built for publication: Speculative trading in mean reverting markets