Mean Reversion Trading with Sequential Deadlines and Transaction Costs
“Our solution methodology utilizes the local time-space calculus of Peskir (2005) to derive nonlinear integral equations of Volterra-type that uniquely characterize the trading boundaries.”
StrategyShort-term reversalmarket timing
Long/shortLong-short
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodShort-term reversal by year
FamilyShort-term reversal17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetEquities12
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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