Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market
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- Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ENE-2017-06-25 (Energy Economics)
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