https://hudsonthames.org/optimal-trading-thresholds-for-the-o-u-process/
Optimal Trading Thresholds for the O-U Process - Hudson & Thames
Feb 5, 2023 - This article introduces optimal trading strategies based on the Ornstein–Uhlenbeck model and assesses their performance on a recent dataset.
process hudsonoptimaltrading
https://hudsonthames.org/pairs-trading-with-stochastic-control-and-ou-process/
Pairs Trading with Stochastic Control and OU process - Hudson & Thames
Feb 5, 2023 - This article introduces two pairs trading strategies, with the highest impact in the domain of Stochastic Control Pairs Trading.
pairs tradingprocess hudsonou