An Entropic Approach for Pair Trading in PSX
The perception in pair trading is to recognize that when two stocks move together, their prices will converge to a mean value in the future. However, finding the mean-reverted point at which the value of the pair will converge as well as the optimal boundaries of the trade is not easy, as uncertaint...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/25/3/494 |