A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance

Journal of Banking & Finance, Volume 65, April 2016, pp134-155.


Sergio M. Focardi

Ivan K. Mitov

Journal of Banking & Finance, Volume 65, April 2016, pp134-155.

Type: Academic publication
Date: le 01/04/2016
Research Cluster : Finance
Source : Journal of Banking & Finance

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