Optimal Pair-Trading Decision Rules for a Class of Non-Linear Boundary Crossings by Ornstein-Uhlenbeck Processes Page: XIII
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LIST OF FIGURES
Page
Figure 2.1.
Figure 2.6.
Figure 2.7.
Figure 2.2.
Figure 2.3.
Figure 2.4.
Figure 2.5.
Figure 4.1.
Figure 4.2.
Figure 4.3.
Figure 4.4.
Figure 5.1.
Figure 5.2.
Figure 5.3.Cointegration between logarithmic returns of Pepsi and Coca Cola stock
prices from September 16, 2008 to July 7, 2009
Objective function of Goncu and Akyildirim for time horizon T = 0.5
Goncu and Akyildirim's threshold for 2 year time horizon pairs trading of
EOAN.DE and RWE.DE
Spreads between logarithmic returns of PEP and KO stock prices for
various half year periods
Spreads between logarithmic returns of EOAN and RWE stock prices for
various half year periods
Spreads between logarithmic returns of XOM and CVX stock prices for
various half year periods
Spreads between logarithmic returns of WMT and TGT stock prices for
various half year periods
Spread and threshold.
Graph of &TS,T(/)(Yellow) and IT,T (8)(Blue), with T = 1.25 and T = 5
Graph of h(/3, ) for T = 0.5, with maximum value h(/3, %) = 0.3632 at
= 2.2621 and = = 0.6944
Graph of h($, y) for T = 5, with maximum value h(3, y) = 0.006564 at
= 1.3351 and = = 0.1856
Discretized Ornstein-Uhlenbeck Process of length 10000, with parameter
values p = 2.3, A = 0.08 and a-= 0.005, starting from x0 = 2.4
Discretized Ornstein-Uhlenbeck Process of length 1260, with parameter
values p = 2.3, A = 0.08 and a- =0.005
Paths of length 1260, generated from one realization of parameterxiii
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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/m1/14/: accessed July 17, 2024), University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu; .