Trading strategies within the edges of no-arbitrage

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...

Полное описание

Библиографические подробности
Главные авторы:	Cartea, Á, Jaimungal, S, Ricci, J
Формат:	Journal article
Опубликовано:	World Scientific Publishing 2018

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