An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions.
Jingzhi TieHanqin ZhangQing ZhangPublished in: J. Optim. Theory Appl. (2018)
Keyphrases
- optimal strategy
- decision problems
- monte carlo
- optical flow
- expected cost
- expected utility
- image sequences
- electronic commerce
- long run
- mathematical models
- video sequences
- cooperative game
- optimal control
- fractal dimension
- geometric structure
- geometric constraints
- human motion
- motion model
- competitive ratio
- motion patterns
- d objects
- geometric information
- trading strategies
- brownian motion
- moving objects
- point to point correspondences