메뉴 건너뛰기




Volumn 5, Issue 3, 2015, Pages 489-499

Pairs trading: An optimal selling rule

Author keywords

Mean reverting process; Optimal selling; Pairs trading

Indexed keywords


EID: 84937408318     PISSN: 21568472     EISSN: 21568499     Source Type: Journal    
DOI: 10.3934/mcrf.2015.5.489     Document Type: Article
Times cited : (2)

References (11)
  • 1
    • 33947312594 scopus 로고    scopus 로고
    • Mean reverting processes - Energy price processes used for derivatives pricing and risk management
    • C. Blanco and D. Soronow, Mean reverting processes - Energy price processes used for derivatives pricing and risk management, Commodities Now, (2001), 68-72.
    • (2001) Commodities Now , pp. 68-72
    • Blanco, C.1    Soronow, D.2
  • 2
    • 0000714566 scopus 로고
    • Some posteriori probabilities in stock market action
    • A. Cowles and H. Jones, Some posteriori probabilities in stock market action, Econometrica, 5 (1937), 280-294.
    • (1937) Econometrica , vol.5 , pp. 280-294
    • Cowles, A.1    Jones, H.2
  • 3
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • [3] E. Fama and K. R. French, Permanent and temporary components of stock prices, Journal of Political Economy, 96 (1988), 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.1    French, K.R.2
  • 4
    • 0036805168 scopus 로고    scopus 로고
    • Permanent and temporary components of stock prices: Evidence from assessing macroeconomic shocks
    • [4] L. A. Gallagher and M. P. Taylor, Permanent and temporary components of stock prices: Evidence from assessing macroeconomic shocks, Southern Economic Journal, 69 (2002), 345-362.
    • (2002) Southern Economic Journal , vol.69 , pp. 345-362
    • Gallagher, L.A.1    Taylor, M.P.2
  • 6
    • 25844529961 scopus 로고    scopus 로고
    • Optimal selling rules in a regime switching model
    • X. Guo and Q. Zhang, Optimal selling rules in a regime switching model, IEEE Transactions on Automatic Control, 50 (2005), 1450-1455.
    • (2005) IEEE Transactions on Automatic Control , vol.50 , pp. 1450-1455
    • Guo, X.1    Zhang, Q.2
  • 7
    • 0003254273 scopus 로고    scopus 로고
    • Option pricing under linear autoregressive dynamics, het-eroskedasticity, and conditional leptokurtosis
    • C. M. Hafner and H. Herwartz, Option pricing under linear autoregressive dynamics, het-eroskedasticity, and conditional leptokurtosis, Journal of Empirical Finance, 8 (2001), 1-34.
    • (2001) Journal of Empirical Finance , vol.8 , pp. 1-34
    • Hafner, C.M.1    Herwartz, H.2
  • 8
    • 84875198466 scopus 로고    scopus 로고
    • Optimal convergence trade strategies
    • J. Liu and A. Timmermann, Optimal convergence trade strategies, Review of Financial Studies, 26 (2013), 1048-1086.
    • (2013) Review of Financial Studies , vol.26 , pp. 1048-1086
    • Liu, J.1    Timmermann, A.2
  • 10
    • 0036207962 scopus 로고    scopus 로고
    • Stock trading: An optimal selling rule
    • Q. Zhang, Stock trading: An optimal selling rule, SIAM J. Contr. Optim., 40 (2001), 64-87.
    • (2001) SIAM J. Contr. Optim , vol.40 , pp. 64-87
    • Zhang, Q.1
  • 11
    • 44449144397 scopus 로고    scopus 로고
    • Trading a mean-reverting asset: Buy low and sell high
    • [11] H. Zhang and Q. Zhang, Trading a mean-reverting asset: Buy low and sell high, Automatica, 44 (2008), 1511-1518.
    • (2008) Automatica , vol.44 , pp. 1511-1518
    • Zhang, H.1    Zhang, Q.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.