Profiting from Mean-Reverting Yield Curve Trading Strategies
نویسندگان
چکیده
منابع مشابه
Limit order trading with a mean reverting reference price
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting optimal bid and ask limit order prices tend to track the underlying price as one might expect. This is indeed the case with the model of Avellaneda and Stoikov (2008), which has been studied extensively. We consider her...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 2006
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.2006.627836