67 citations · 247 across the 21 of their papers we have counts for
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q-fin.GN2023
A hidden Markov model for statistical arbitrage in international crude oil futures markets
Viviana Fanelli, Claudio Fontana, Francesco Rotondi
In this work, we study statistical arbitrage strategies in international crude oil futures markets. We analyse strategies that extend classical pairs trading strategies, considerin…
q-fin.PR2023★ 3 cited
A stochastic control perspective on term structure models with roll-over risk
Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence…