Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique

Journal of Statistical Theory and Practice

Volumn 4, Issue 3, 2010, Pages 391-419

  Puspaningrum, Heni ^a   Lin, Yan−Xia ^a   Gulati, Chandra M ^a  

^a UNIVERSITY OF WOLLONGONG   (Australia)

Author keywords

Cointegration; Integral equation; Pairs trading; The mean first passage time

Indexed keywords

EID: 85008829542     PISSN: 15598608     EISSN: 15598616     Source Type: Journal    
DOI: 10.1080/15598608.2010.10411994     Document Type: Article

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