The Optimal Thresholds of Pairs Trading with a Stop-Loss Condition

BI Xiuchun,LIU Bo, YUAN L¨uning, ZHANG Shuguang

Journal of Systems Science and Mathematical Sciences ›› 2019, Vol. 39 ›› Issue (7) : 1117-1141.

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Journal of Systems Science and Mathematical Sciences ›› 2019, Vol. 39 ›› Issue (7) : 1117-1141. DOI: 10.12341/jssms13668

The Optimal Thresholds of Pairs Trading with a Stop-Loss Condition

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2019, 39(7): 1117-1141 https://doi.org/10.12341/jssms13668

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