A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach
Crossref DOI link: https://doi.org/10.1186/s40537-017-0106-3
Published Online: 2017-12-11
Published Print: 2017-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Tenyakov, Anton
Mamon, Rogemar http://orcid.org/0000-0003-0885-7685
Funding for this research was provided by:
Natural Sciences and Engineering Research Council of Canada (RGPIN-2017-04235)
License valid from 2017-12-01