"Dynamic modeling of mean-reverting spreads for statistical arbitrage."

Kostas Triantafyllopoulos, Giovanni Montana (2011)

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DOI: 10.1007/S10287-009-0105-8

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type: Journal Article

metadata version: 2020-05-10

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Kostas Triantafyllopoulos, Giovanni Montana:
Dynamic modeling of mean-reverting spreads for statistical arbitrage. Comput. Manag. Sci. 8(1-2): 23-49 (2011)

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