Algorithmic trading of co-integrated assets
Álvaro Cartea and Sebastian Jaimungal
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Cartea, Álvaro ; Jaimungal, Sebastian |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 6, p. 1-18
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| Subject: | Pairs trading | algorithmic trading | high-frequency trading | co-integration | short-term alpha | stochastic control | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Kointegration | Cointegration | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process | Theorie | Theory | Finanzanalyse | Financial analysis | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500382 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011572368