Costly arbitrage through pairs trading

Journal of Economic Dynamics and Control

Volumn 56, Issue , 2015, Pages 1-19

  Lei, Yaoting ^a   Xu, Jing ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Delta neutral strategies; Pairs trading; Risky arbitrage; Transaction costs

Indexed keywords

EID: 84930710239     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2015.04.006     Document Type: Article

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