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  • Search: subject:"Lévy-driven Ornstein-Uhlenbeck process"
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Year of publication
Subject
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Lévy-driven Ornstein-Uhlenbeck process 4 Pairs trading 4 Finance 3 High-frequency data 3 Markov regime switching 3 Portfolio selection 3 Portfolio-Management 3 Statistical arbitrage 3 Stochastic process 3 Stochastischer Prozess 3 Theorie 3 Theory 3 Arbitrage 2 Börsenkurs 2 Capital income 2 Kapitaleinkommen 2 Markov chain 2 Markov-Kette 2 Share price 2 Mean Reversion 1 Mean reversion 1 Optimal thresholds 1 Two-sided exit problem 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 4
Author
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Endres, Sylvia 3 Stübinger, Johannes 3 Wu, Lan 1 Zang, Xin 1 Zhao, Hongxin 1
Published in...
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Quantitative finance 2 FAU Discussion Papers in Economics 1 FAU discussion papers in economics 1
Source
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ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - 2018
This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...
Persistent link: https://www.econbiz.de/10011849018
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Cover Image
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - 2018
This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...
Persistent link: https://www.econbiz.de/10011845691
Saved in:
Cover Image
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
Wu, Lan; Zang, Xin; Zhao, Hongxin - In: Quantitative finance 20 (2020) 8, pp. 1285-1306
Persistent link: https://www.econbiz.de/10012262663
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Cover Image
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
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