Optimal Pair-Trading Decision Rules for a Class of Non-Linear Boundary Crossings by Ornstein-Uhlenbeck Processes Page: 93
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FIGURE 5.32. ln(Qt) generated from Geometric Brownian Motion of length
10,000, with parameters rK = 0.001 and o-= 0.02), starting at 1.50
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FIGURE 5.33. Spread of length 10,000 from a trend-stationary OU process,
with parameters a = 0.0002, b = 0.8, A = 0.08 and a-= 0.00593
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Tamakloe, Emmanuel Edem Kwaku. Optimal Pair-Trading Decision Rules for a Class of Non-Linear Boundary Crossings by Ornstein-Uhlenbeck Processes, dissertation, December 2021; Denton, Texas. (https://digital.library.unt.edu/ark:/67531/metadc1873709/m1/112/?rotate=90: accessed July 17, 2024), University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu; .