Speculative trading in mean reverting markets

European Journal of Operational Research

Volumn 163, Issue 1, 2005, Pages 132-144

  Carcano, G ^a   Falbo, P ^b   Stefani, S ^a,b  

^a UNIVERSITY OF MILANO BICOCCA   (Italy)

^b UNIVERSITY OF BRESCIA   (Italy)

Author keywords

Commodity markets; Decision analysis; Mean reverting processes; Optimal strategy; Simulation analysis

Indexed keywords

COMPUTER SIMULATION; COSTS; DECISION THEORY; INVESTMENTS; MARKETING; RANDOM PROCESSES;

COMMODITY MARKETS; MEAN REVERTING PROCESSES; OPTIMAL STRATEGY; SIMULATION ANALYSIS;

ECONOMICS;

EID: 9944225060     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2004.01.002     Document Type: Conference Paper

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