Minh-Man Ngo

Independent

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Optimal Switching for Pairs Trading Rule: A Viscosity Solutions Approach

Number of pages: 26 Posted: 24 Dec 2014
Minh-Man Ngo and Huyên Pham
Independent and Université Paris VII Denis Diderot
Downloads 167 (179,849)

Abstract:

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pairs trading, optimal switching, mean-reverting process, viscosity solutions