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Improving cointegration-based pairs trading strategy with asymptotic analyses and convergence rate filters
Ti, Yen-Wu
;
Dai, Tian-Shyr
;
Wang, Kuan-Lun
;
Chang, Hao-Han
- In:
Computational economics
64
(
2024
)
5
,
pp. 2717-2745
Persistent link: https://www.econbiz.de/10015144065
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Constructing optimal portfolio rebalancing strategies with a two-stage multiresolution-grid model
Dai, Tian-Shyr
;
Chen, Bo-Jen
;
Sun, You-Jia
;
Yang, Dong-Yuh
- In:
Computational economics
64
(
2024
)
5
,
pp. 3117-3142
Persistent link: https://www.econbiz.de/10015144113
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