Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics

Philippe Bergault, Fayçal Drissi, Olivier Guéant. Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics. SIAM J. Financial Math., 13(1):353-390, 2022. [doi]

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