SCOPUS 정보 검색 플랫폼

Proceedings of the American Control Conference

Volumn , Issue , 2008, Pages 1035-1039

Optimal pairs trading: A stochastic control approach

(3) Mudchanatongsuk, Supakorn a Primbs, James A a Wong, Wilfred a

a Stanford University (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; COMMERCE; FINANCIAL DATA PROCESSING; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; STOCHASTIC MODELS; STOCHASTIC PROGRAMMING;

CLOSED FORM; CONTROL PROBLEMS; HAMILTON-JACOBI-BELLMAN EQUATIONS; NUMERICAL EXAMPLES; OPTIMAL PAIRS; OPTIMAL SOLUTIONS; ORNSTEIN-UHLENBECK PROCESS; PORTFOLIO OPTIMIZATION; SIMULATED DATA; STOCHASTIC CONTROL; STOCK PRICES;

STOCHASTIC CONTROL SYSTEMS;

EID: 52449127001 PISSN: 07431619 EISSN: None Source Type: Conference Proceeding
DOI: 10.1109/ACC.2008.4586628 Document Type: Conference Paper

Times cited : (94)

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