Loss protection in pairs trading through minimum profit bounds: A cointegration approach
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Publication:955479
DOI10.1155/JAMDS/2006/73803zbMath1201.62118MaRDI QIDQ955479
Michael McCrae, Yan-Xia Lin, Chandra M. Gulati
Publication date: 20 November 2008
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/117116
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)
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