Pairs trading with a mean-reverting jump-diffusion model on high-frequency data.

Journal article
(Original article)


Publication Details

Author(s): Stübinger J, Endres S
Journal: Quantitative Finance
Publication year: 2018
ISSN: 1469-7688
Language: English


FAU Authors / FAU Editors

Endres, Sylvia
Lehrstuhl für Statistik und Ökonometrie


How to cite

APA:
Stübinger, J., & Endres, S. (2018). Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. Quantitative Finance. https://dx.doi.org/10.1080/14697688.2017.1417624

MLA:
Stübinger, Johannes, and Sylvia Endres. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data." Quantitative Finance (2018).

BibTeX: 

Last updated on 2019-04-01 at 13:10