Open AccessPairs trading: An optimal selling rule
Author(s) -
Kevin Kuo,
Phong Luu,
Duy Nguyen,
Eric Perkerson,
Katherine Jenny Thompson,
Qing Zhang
Publication year - 2015
Publication title -
mathematical control and related fields
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.658
H-Index - 21
eISSN - 2156-8472
pISSN - 2156-8499
DOI - 10.3934/mcrf.2015.5.489
Subject(s) - optimal stopping , stock (firearms) , trading strategy , profit (economics) , limit (mathematics) , pairs trade , position (finance) , mathematics , mathematical optimization , mathematical economics , computer science , econometrics , economics , finance , algorithmic trading , microeconomics , alternative trading system , mechanical engineering , mathematical analysis , engineering