Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Sangmin Lee, Andrew Papanicolaou
| Year of publication: |
December 2016
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|---|---|
| Authors: | Lee, Sangmin ; Papanicolaou, Andrew |
| 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, 8, p. 1-36
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| Subject: | Pairs trading | co-integration | Kalman filter | partial information | stochastic control | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mean Reversion | Mean reversion | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500540 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686768