Intraday high-frequency pairs trading strategies for energy futures : evidence from China
Jing Luo, YuCheng Lin and Sijia Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Luo, Jing ; Lin, Yucheng ; Wang, Sijia |
| Subject: | Chinese energy futures | high-frequency trading | Markov regime switching | Ornstein-Uhlenbeck process | pairs trading | China | Elektronisches Handelssystem | Electronic trading | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2161993 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014382721