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...
| Huvudupphovsmän: | , , |
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| Materialtyp: | Journal article |
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World Scientific Publishing
2018
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