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

Published in SIAM Journal on Financial Mathematics, 2022

Recommended citation: Bergault, P., Drissi, F., & Guéant, O. (2022). Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics. SIAM Journal on Financial Mathematics. 13(1), 353-390.
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