Review of stochastic differential equations in statistical arbitrage pairs trading
The use of stochastic differential equations offers great advantages for statistical arbitrage pairs trading. In particular, it allows the selection of pairs with desirable properties, e.g., strong mean-reversion, and it renders traditional rules of thumb for trading unnecessary. This study provides...
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2020-05-01
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| Series: | Managerial Economics |
| Subjects: | |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/3798 |
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