Speculative trading in mean reverting markets-Reference-Cited by-同舟云学术

Speculative trading in mean reverting markets

Published:2005-05 Issue:1 Volume:163 Page:132-144
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Carcano G.,Falbo P.,Stefani S.

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference15 articles.

1. Mean reversion in equilibrium asset prices: Evidence from the futures term structure;Bessembinder;Journal of Finance,1995

2. On the behavior of commodity prices;Deaton;Review of Economic Studies,1992

3. Duffie, D., Ziegler, A., 2001. Liquidation risk. Working paper, Stanford University

4. Falbo, P., Stefani, S., 2000. Detecting mean reversion in financial series. In: Atti del XXIV Convegno dell'Associazione della Matematica applicata alle Scienze Economiche e Sociali, Padenghe sul Garda

5. Commodity futures markets and trading strategies opportunities;Falbo,1996

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal trading and competition with information in the price impact model;Quantitative Finance;2024-06-02

2. Reliability-based performance analysis of mining drilling operations through Markov chain Monte Carlo and mean reverting process simulations;SIMULATION;2020-06-03

3. A Bayesian structural model for predicting algal blooms;Journal of Forecasting;2019-04-10

4. Semi-parametric real exchange rates dynamics;Review of Quantitative Finance and Accounting;2018-03-16

5. Risk control of mean-reversion time in statistical arbitrage;Risk and Decision Analysis;2018-02-01