"Pairs-trading under geometric Brownian motions: An optimal strategy with ..."

Ruyi Liu, Zhen Wu, Qing Zhang (2020)

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DOI: 10.1016/J.AUTOMATICA.2020.108912

access: closed

type: Journal Article

metadata version: 2021-10-14

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Ruyi Liu, Zhen Wu, Qing Zhang:
Pairs-trading under geometric Brownian motions: An optimal strategy with cutting losses. Autom. 115: 108912 (2020)

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