Search Results for author: Marcos Lopez de Prado

Found 1 papers, 0 papers with code

A closed-form solution for optimal mean-reverting trading strategies

no code implementations23 Mar 2020 Alexander Lipton, Marcos Lopez de Prado

They enter a long position when a security is priced below its estimated equilibrium level, and they enter a short position when a security is priced above its estimated equilibrium level.

Position

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