Pairs trading: optimal thresholds and profitability

被引：30
|
作者：
Zeng, Zhengqin [1 ]
Lee, Chi-Guhn [1 ]
机构：
[1] Univ Toronto, Dept Mech & Ind Engn, Toronto, ON M5S 3G8, Canada
来源：
QUANTITATIVE FINANCE | 2014年 / 14卷 / 11期
关键词：
STATISTICAL ARBITRAGE;
D O I：
10.1080/14697688.2014.917806
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：1881 / 1893
页数：13
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