Pairs-trading under geometric Brownian motions: An optimal strategy with cutting losses.
Ruyi LiuZhen WuQing ZhangPublished in: Autom. (2020)
Keyphrases
- optimal strategy
- decision problems
- image sequences
- monte carlo
- expected cost
- electronic commerce
- mathematical models
- expected utility
- cooperative game
- financial markets
- video sequences
- optical flow
- geometric structure
- geometric constraints
- random fields
- human motion
- foreign exchange
- pairwise
- optimal policy
- trading systems
- geometric information
- competitive ratio
- optimal control
- long run
- fractal dimension
- cost function
- moving objects
- cooperative
- reinforcement learning