Introducing Hurst exponent in pair trading

Physica A: Statistical Mechanics and its Applications 2017 / 12 Vol. 488

Introducing Hurst exponent in pair trading

Ramos-Requena, J.P., Trinidad-Segovia, J.E., Sánchez-Granero, M.A.
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Volume:
488
Language:
english
Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2017.06.032
Date:
December, 2017
File:
PDF, 806 KB
english, 2017
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