Pairs trading with fractional Ornstein-Uhlenbeck spread model
Yun Xiang, Yonghong Zhao, Shijie Deng
| Year of publication: |
2023
|
|---|---|
| Authors: | Xiang, Yun ; Zhao, Yonghong ; Deng, Shijie |
| Subject: | Fractional Brownian motion | Fractional Ornstein–Uhlenbeck process | high-frequency trading | Pairs trading | statistical arbitrage | Stochastischer Prozess | Stochastic process | Arbitrage | Wertpapierhandel | Securities trading | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Zeitreihenanalyse | Time series analysis | Arbitrage Pricing | Arbitrage pricing | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2103506 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014295156