Trading a mean-reverting asset: Buy low and sell high

Automatica

Volumn 44, Issue 6, 2008, Pages 1511-1518

  Zhang, Hanqin ^a   Zhang, Qing ^b  

^a CHINESE ACADEMY OF SCIENCES   (China)

^b UNIVERSITY OF GEORGIA   (United States)

Author keywords

Mean reverting process; Optimal stopping; Quasi variational inequalities

Indexed keywords

MATHEMATICAL MODELS; NUMERICAL METHODS; OPTIMAL SYSTEMS; OPTIMIZATION; THEOREM PROVING;

MEAN-REVERTING PROCESSES; OPTIMAL STOPPING; QUASI-VARIATIONAL INEQUALITIES; SUFFICIENT CONDITIONS;

SUPPLY CHAINS;

EID: 44449144397     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2007.11.003     Document Type: Article

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