Statistical Arbitrage Opportunities Using Bellman Equation
Reza Habibi & Hamed Habibi · Journal of Advances in Mathematics and Computer Science · 2016
This paper uses the dynamic programming to detect the optimal statistical arbitrage opportunities in a market including a bond and a stock. First, it is assumed that the growth rates of stock are independent random variables and Bellman equation is derived for probability of gain...
Open access
Research Article
10.9734/BJMCS/2016/25967