Trading strategies within the edges of no-arbitrage
We develop a trading strategy that employs limit and market orders in a multiasset economy where the assets are not only correlated, but can also be structurally dependent. To model the structural dependence, the mid-price processes follow a multivariate reflected Brownian motion on the closure of a...
| Hauptverfasser: | , , |
|---|---|
| Format: | Journal article |
| Veröffentlicht: |
World Scientific Publishing
2018
|