SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal trading strategies for Itô diffusion processes
14 references·1 citing·42 second hop
Optimal trading strategies for Itô diffusion processes (2009)Optimal trading strategies for Itô diffus…Statistical Arbitrage: Algorithmic Trading Insights and Techniques (2007)Statistical Arbitrage: Algori…Size matters: some stylized facts of the stock market revisited (2006)Size matters: some stylized f…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Waiting times between orders and trades in double-auction markets (2005)Waiting times between orders …Pairs trading (2005)Pairs tradingPairs Trading: Quantitative Methods and Analysis (2004)Pairs Trading: Quantitative M…When genius failed: the rise and fall of Long-Term Capital Management (2001)When genius failed: the rise …Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Fractional calculus and continuous-time finance (2000)Fractional calculus and conti…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…The Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…The Sharpe Ratio (1994)The Sharpe RatioA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Relativistic statistical arbitrage (2010)Relativistic statistical arbi…Théorie de la spéculation (1900)The Variation of Certain Speculative Prices (1963)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)Waiting-times and returns in high-frequency financial data: an empirical study (2002)Multifractal analysis of financial markets: a review (2019)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Cryptocurrency trading: a comprehensive survey (2022)Liquidity Risk and Expected Stock Returns (2001)Repairing and Enhancing Trust: Approaches to Reducing Organizational Trust Deficits (2010)This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis (2012)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)Modelling and measuring price discovery in commodity markets (2010)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)A jump to default extended CEV model: an application of Bessel processes (2006)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1994The Sharpe Ratio2,542 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 2000Fractional calculus and continuous-time finance863 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2001When genius failed: the rise and fall of Long-Term Capital Management713 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 2004Pairs Trading: Quantitative Methods and Analysis345 cited
  • 2005Pairs trading295 cited
  • 2006Size matters: some stylized facts of the stock market revisited101 cited
  • 2007Statistical Arbitrage: Algorithmic Trading Insights and Techniques79 cited
  • 2005Waiting times between orders and trades in double-auction markets66 cited

Cited by

  • 2010Relativistic statistical arbitrage61 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work