Analytic solutions for optimal statistical arbitrage trading-Reference-Cited by-同舟云学术

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Analytic solutions for optimal statistical arbitrage trading

Published:2010-06 Issue:11 Volume:389 Page:2234-2243
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bertram William K.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference31 articles.

1. C. Alexander, A. Dimitriu, Discussion Paper 2002–08, IMSA Centre Discussion Papers in Finance Series, 2002.

2. Pairs trading

3. Pairs Trading: Quantitative Methods and Analysis;Vidyamurthy,2004

4. Quantitative Trading Strategies;Kestner,2003

5. Optimal trading strategies for Itô diffusion processes

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