Loss protection in pairs trading through minimum profit bounds: A cointegration approach.
Yan-Xia LinMichael McCraeChandra GulatiPublished in: Adv. Decis. Sci. (2006)
Keyphrases
- worst case bounds
- lower bound
- upper bound
- pairwise
- decision making
- electronic commerce
- upper and lower bounds
- minimum cost
- lower and upper bounds
- origin destination
- loss bounds
- error bounds
- expected loss
- trading systems
- trading strategies
- constant factor
- foreign exchange
- information systems
- reinforcement learning
- candidate pairs
- cross selling
- vc dimension
- information security
- short term
- worst case