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...
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| פורמט: | Journal article |
| יצא לאור: |
World Scientific Publishing
2018
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