On the efficacy of optimized exit rule for mean reversion trading
Donovan Lee, Tim Leung
| Year of publication: |
2020
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|---|---|
| Authors: | Lee, Donovan ; Leung, Tim |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 3, p. 1-20
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| Subject: | maximum likelihood estimation | mean reversion | optimal stopping | Pairs trading | stop-loss | Mean Reversion | Mean reversion | Suchtheorie | Search theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786320500243 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012603008