An Optimal Pairs-Trading Rule
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References listed on IDEAS
- Hafner, Christian M. & Herwartz, Helmut, 2001.
"Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis,"
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- Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Minh Man Ngo & Huyen Pham, 2014. "Optimal switching for pairs trading rule: a viscosity solutions approach," Papers 1412.7649, arXiv.org.
- Yerkin Kitapbayev & Tim Leung, 2017.
"Optimal mean-reverting spread trading: nonlinear integral equation approach,"
Annals of Finance,
Springer, vol. 13(2), pages 181-203, May.
- Tim Leung & Yerkin Kitapbayev, 2017. "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers 1701.00875, arXiv.org, revised Jan 2017.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
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