Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Johannes Stübinger, Sylvia Endres
| Year of publication: |
2018
|
|---|---|
| Authors: | Stübinger, Johannes ; Endres, Sylvia |
| Published in: |
Essays on quantitative finance in the context of statistical arbitrage. - Erlangen. - 2018, p. 125-165
|
| Subject: | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Mean Reversion | Mean reversion | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011901815