Analytic value function for optimal regime-switching pairs trading rules
Yang Bai and Lan Wu
| Year of publication: |
April 2018
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|---|---|
| Authors: | Bai, Yang ; Wu, Lan |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 4, p. 637-654
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| Subject: | Pairs trading | Regime-switching | Optimal thresholds | Markov-modulated O-U process | Double boundary stopping time | Theorie | Theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1336281 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906451