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subject:"Anlageverhalten"
subject:"Portfolio-Management"
~isPartOf:"Journal of risk and financial management : JRFM"
~isPartOf:"Quantitative finance"
~person:"Endres, Sylvia"
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Anlageverhalten
Portfolio-Management
Arbitrage
2
Capital income
2
Finance
2
High-frequency data
2
Kapitaleinkommen
2
Pairs trading
2
Portfolio selection
2
Statistical arbitrage
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Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
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Electronic trading
1
Elektronisches Handelssystem
1
Financial investment
1
Jump-diffusion model
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Kapitalanlage
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Lévy-driven Ornstein-Uhlenbeck process
1
Markov chain
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Markov regime switching
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Markov-Kette
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Mean-reversion
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Endres, Sylvia
Escobar, Marcos
5
Stübinger, Johannes
3
Uryasev, Stan
3
Birge, John R.
2
Chang, Kuo-Chu
2
Cheng, Yuyang
2
Costa, Giorgio
2
Ding, Rui
2
Edirisinghe, Chanaka
2
Forsyth, Peter A.
2
Ji, Ran
2
Kim, Woo Chang
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Krauss, Christopher
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Kwon, Roy
2
Kwon, Roy H.
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Langrené, Nicolas
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Lee, Yongjae
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Loeper, Grégoire
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MacLean, Leonard C.
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Madan, Dilip B.
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Paterlini, Sandra
2
Pun, Chi Seng
2
Satchell, Stephen
2
Sornette, Didier
2
Uberti, Pierpaolo
2
Wu, Lan
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Zhao, Yonggan
2
Zumbach, Gilles O.
2
Aase, Knut K.
1
Abergel, Frédéric
1
Abid, Fathi
1
Abidin, Sazali
1
Aboussalah, Amine Mohamed
1
Abraham, Rebecca
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Aiolfi, Marco
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Ajakh, Ahmad
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Akhtar, Yasmeen
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Journal of risk and financial management : JRFM
Quantitative finance
FAU discussion papers in economics
2
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ECONIS (ZBW)
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia
;
Stübinger, Johannes
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
Saved in:
2
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
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