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  • Search: subject:"Optimal thresholds"
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Year of publication
Subject
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Optimal thresholds 4 Pairs trading 4 Portfolio selection 4 Portfolio-Management 4 Stochastic process 4 Stochastischer Prozess 4 Finance 3 Ornstein-Uhlenbeck Lévy process 3 Anlageverhalten 2 Behavioural finance 2 High-frequency data 2 Mean-reversion 2 Option pricing theory 2 Optionspreistheorie 2 Theorie 2 Theory 2 Volatility 2 Volatilität 2 Börsenkurs 1 Double boundary stopping time 1 Lévy-driven Ornstein-Uhlenbeck process 1 Markov chain 1 Markov-Kette 1 Markov-modulated O-U process 1 Mean Reversion 1 Mean reversion 1 Regime-switching 1 Share price 1 Two-sided exit problem 1 high-frequency data 1 optimal thresholds 1 pairs trading 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 3 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 5
Author
All
Endres, Sylvia 3 Stübinger, Johannes 3 Wu, Lan 2 Bai, Yang 1 Zang, Xin 1 Zhao, Hongxin 1
Published in...
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Quantitative finance 2 Applied economics 1 FAU Discussion Papers in Economics 1 FAU discussion papers in economics 1
Source
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ECONIS (ZBW) 4 EconStor 1
Showing 1 - 5 of 5
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Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes
Endres, Sylvia; Stübinger, Johannes - 2017
This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein-Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from1998 to 2015. Our model provides optimal entry and exit signals by maximizing the expected return expressed in terms of...
Persistent link: https://www.econbiz.de/10011724532
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Cover Image
Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes
Endres, Sylvia; Stübinger, Johannes - 2017
This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein-Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from1998 to 2015. Our model provides optimal entry and exit signals by maximizing the expected return expressed in terms of...
Persistent link: https://www.econbiz.de/10011725169
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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Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes
Endres, Sylvia; Stübinger, Johannes - In: Applied economics 51 (2019) 29, pp. 3153-3169
Persistent link: https://www.econbiz.de/10012196804
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Analytic value function for optimal regime-switching pairs trading rules
Bai, Yang; Wu, Lan - In: Quantitative finance 18 (2018) 4, pp. 637-654
Persistent link: https://www.econbiz.de/10011906451
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