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*COD & Shipping Charges may apply on certain items.
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About The Book
Description
Author
This book considers the simulation-based approaches to arbitrage detection. A random weight approach is introduced for construction of pairs trading strategies. First condition for market neutrality of portfolio is considered then the probability of attaining the profit is maximized. The portfolio contains long position in random units of first asset and random units of another asset in short position. Strategies are given and their performances are evaluated throughout some examples.
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Details
ISBN 13
9783659891816
Publication Date
-18-05-2016
Pages
-92
Weight
-131 grams
Dimensions
-150x220x5.33 mm
