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ArticleOptimal trading strategies for Itô diffusion processes

William Karel Bertram2009

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Articlegreen2009

Optimal trading strategies for Itô diffusion processes

William Karel Bertram

25 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

1985A Theory of the Term Structure of Interest Rates 1994The Sharpe Ratio 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1996Handbook of Brownian Motion — Facts and Formulae 2000Fractional calculus and continuous-time finance 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule 2000Stable Paretian Models in Finance 2001When genius failed: the rise and fall of Long-Term Capital Management

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Year2009

Typearticle

Published2009-04-11

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physa.2009.04.004

openalex_workW1980766483

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