Optimal trading strategies for Itô diffusion processes-Reference-Cited by-同舟云学术

Optimal trading strategies for Itô diffusion processes

Published:2009-07 Issue:14 Volume:388 Page:2865-2873
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

Reference21 articles.

1. Pairs trading;Elliott;Quant. Finance,2005

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

3. Pairs trading: Performance of a relative value arbitrage rule;Gatev;Rev. Fin. Studies,2006

4. Statistical Arbitrage: Algorithmic Trading Insights and Techniques;Pole,2007

5. C. Alexander, A. Dimitriu, Cointegration based trading strategies: A new approach to enhanced index tracking and statistical arbitrage, Discussion Paper 2002-08, IMSA Centre Discussion Papers in Finance Series, 2002

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