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Risk Control of Mean-Reversion...
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Risk control of mean-reversion time in statistical arbitrage
Yeo, Joongyeub
;
Papanicolaou, George
- In:
Risk and decision analysis
6
(
2017
)
4
,
pp. 263-290
Persistent link: https://www.econbiz.de/10011925104
Saved in:
2
A risk analysis for a system stabilized by a central agent
Garnier, Josselin
;
Papanicolaou, George
;
Yang, Tzu-Wei
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 97-120
Persistent link: https://www.econbiz.de/10011743825
Saved in:
3
Limit order trading with a mean reverting reference price
Ahuja, Saran
;
Papanicolaou, George
;
Ren, Weiluo
;
Yang, …
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
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