An Entropic Approach for Pair Trading
In this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair. However, if the assumed model contains uncertainty, the resulting boundary could result in large losses. To avoid this, we develop a more rob...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-06-01
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| Series: | Entropy |
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| Online Access: | http://www.mdpi.com/1099-4300/19/7/320 |