Raphael Yan

BlackRock, Inc

55 East 52nd Street

New York City, NY 10055

United States

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Scholarly Papers (1)

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Dynamic Pairs Trading Using the Stochastic Control Approach

Journal of Economic Dynamics and Control, 2013
Number of pages: 20 Posted: 09 Mar 2012 Last Revised: 07 Feb 2014
Agnes Tourin and Raphael Yan
NYU Tandon - Department of Finance and Risk Engineering and BlackRock, Inc
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Abstract:

Optimal Stochastic Control, Pairs trading, Co-integration, Hamilton-Jacobi-Bellman equation