A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Alexander Lipton, Marcos López De Prado
| Year of publication: |
2020
|
|---|---|
| Authors: | Lipton, Alexander ; López de Prado, Marcos M. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 8, p. 1-34
|
| Subject: | Market making | pairs trading | optimal execution | statistical arbitrage | Ornstein-Uhlenbeck process | Theorie | Theory | Arbitrage | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Wertpapierhandel | Securities trading | Mean Reversion | Mean reversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500569 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496922