Mean reversion trading with sequential deadlines and transaction costs
Year of publication: |
February 2018
|
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Authors: | Kitapbayev, Yerkin ; Leung, Tim |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 1, p. 1-22
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Subject: | Spread trading | optimal stopping | mean reversion | free-boundary problem | local time | Transaktionskosten | Transaction costs | Mean Reversion | Mean reversion | Zeit | Time | Portfolio-Management | Portfolio selection | Suchtheorie | Search theory |
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