An Optimal Strategy for Pairs Trading Under Geometric...

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Journal of Optimization Theory and Applications 2017 / 1

An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions

Tie, Jingzhi, Zhang, Hanqin, Zhang, Qing
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Language:
english
Journal:
Journal of Optimization Theory and Applications
DOI:
10.1007/s10957-017-1065-8
Date:
January, 2017
File:
PDF, 1.16 MB
english, 2017
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