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Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020)
Pairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically ...
Numerical discretization of stochastic oscillators with generalized numerical integrators
(Vinča Institute of Nuclear Sciences, 2021)
In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and ...
On the numerical schemes for Langevin-type equations
(Karaganda University, 2020)
In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of ...
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