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On the Profitability of Optimal Mean Reversion Trading Strategies by Peng Huang, Tianxiang Wang :: SSRN

Posted on January 23, 2016 by drbtk-admin

We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum

Source: On the Profitability of Optimal Mean Reversion Trading Strategies by Peng Huang, Tianxiang Wang :: SSRN

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