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Optimal Convergence Trade Strategies
16 references·14 citing·47 second hop
Optimal Convergence Trade Strategies (2013)Optimal Convergence Trade StrategiesAmplification Mechanisms in Liquidity Crises (2010)Amplification Mechanisms in L…Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009)Equilibrium Portfolio Strateg…Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Losing Money on Arbitrage: Op…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Some desiderata for the measurement of price discovery across markets (2002)Some desiderata for the measu…Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)Optimal Portfolio Selection w…Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)Convergence trading with weal…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Optimal hedging using cointegration (1999)Optimal hedging using cointeg…The Limits of Arbitrage (1995)The Limits of ArbitrageMeasurement of Market Integration and Arbitrage (1995)Measurement of Market Integra…Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Contagion and tail risk in complex financial networks (2022)Contagion and tail risk in co…The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum (2021)The Unintended Consequences o…Structural break-aware pairs trading strategy using deep reinforcement learning (2021)Structural break-aware pairs …Optimal pairs trading with dynamic mean-variance objective (2021)Optimal pairs trading with dy…Convergence in cryptocurrency prices? 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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule857 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility440 cited
  • 2003Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities331 cited
  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets315 cited
  • 2001Convergence trading with wealth effects: an amplification mechanism in financial markets282 cited
  • 2002Optimal Portfolio Selection with Transaction Costs and Finite Horizons277 cited
  • 2002Some desiderata for the measurement of price discovery across markets260 cited
  • 1995Measurement of Market Integration and Arbitrage205 cited
  • 2010Amplification Mechanisms in Liquidity Crises

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200 cited
  • 1999Optimal hedging using cointegration189 cited
  • Cited by

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    • 2018Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing53 cited
    • 2015Dynamic cointegrated pairs trading: Mean–variance time-consistent strategies43 cited
    • 2014Dynamic portfolio selection with mispricing and model ambiguity40 cited
    • 2015Costly arbitrage through pairs trading38 cited
    • 2016Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity37 cited
    • 2021Structural break-aware pairs trading strategy using deep reinforcement learning33 cited
    • 2020Convergence in cryptocurrency prices? the role of market microstructure28 cited
    • 2016Optimal switching for the pairs trading rule: A viscosity solutions approach23 cited
    • 2019Optimal investment strategy for a DC pension plan with mispricing under the Heston model22 cited
    • 2018Riding the Bubble with Convex Incentives21 cited
    • 2016Pair trading based on quantile forecasting of smooth transition GARCH models20 cited
    • 2021Optimal pairs trading with dynamic mean-variance objective17 cited