Statistical arbitrage in jump-diffusion models with compound Poisson processes
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DOI: 10.1007/s10479-021-03965-w
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More about this item
Keywords
Statistical arbitrage; Jump-diffusion model; Compound Poisson process; Monte Carlo simulation;All these keywords.
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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