A Finite Difference Scheme for Pairs Trading with Transaction Costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-021-10159-w.pdf
Reference32 articles.
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2. Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3, 5–40.
3. Almgren, R., Thum, C., Hauptmann, E., & Li, H. (2005). Direct estimation of equity market impact. Risk, 18, 57–62.
4. Angoshtari, B. (2016, August). On the Market-Neutrality of Optimal Pairs-Trading Strategies (Papers No. 1608.08268). arXiv.org. Retrieved from https://ideas.repec.org/p/arx/papers/1608.08268.html.
5. Barles, G., Daher, C., & Romano, M. (1995). Convergence of numerical schemes for parabolic equations arising in finance theory. Mathematical Models and Methods in Applied Sciences, 5, 125–143.
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