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Quickest Detection Problems for Ornstein–Uhlenbeck Processes
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References

  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,143 cited
  • 2006Optimal stopping and free-boundary problems1,071 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule857 cited
  • 2001When genius failed: the rise and fall of Long-Term Capital Management718 cited
  • 2011Dating the timeline of financial bubbles during the subprime crisis586 cited
  • 2008Statistical Arbitrage in the U.S. Equities Market390 cited
  • 2004Pairs Trading: Quantitative Methods and Analysis345 cited
  • 2005Pairs trading302 cited
  • 2010Does Simple Pairs Trading Still Work?243 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 2016STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK219 cited
  • 2005ON THE AMERICAN OPTION PROBLEM207 cited
  • 2015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT113 cited
  • 2017Empirical Investigation of an Equity Pairs Trading Strategy113 cited
  • 2002Quickest Detection Problems in the Technical Analysis of the Financial Data106 cited
  • 2010

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Analytic solutions for optimal statistical arbitrage trading
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