Investigation of multivariate pairs trading under copula approach with mixture distribution

Release time:2024-03-06

DOI number:10.1016/j.amc.2024.128635

Journal:Applied Mathematics and Computation

Key Words:Marginal distributions Pairs trading strategy Multivariate pairs Copula Mixture distribution

Co-author:Fuli He*, Ali Yarahmadi, Fazlollah Soleymani*

Indexed by:Journal paper

Document Code:128635

Discipline:Natural Science

First-Level Discipline:Mathematics

Document Type:J

Issue:472

Page Number:128635

Translation or Not:no

Date of Publication:2024-03-04

Included Journals:SCI

Links to published journals:https://doi.org/10.1016/j.amc.2024.128635