An optimal trading rule under a switchable mean-reversion model

DOI10.1007/S10957-012-0260-XzbMath1296.91256OpenAlexW2030472332MaRDI QIDQ2247920

Yanyan Li

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0260-x

zbMATH Keywords

optimal stoppingquasi-variational inequalitiesmean-reverting process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)

Related Items (6)

Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Analytic value function for optimal regime-switching pairs trading rules ⋮ Switching between a pair of stocks: an optimal trading rule ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach ⋮ Optimal switching strategy of a mean-reverting asset over multiple regimes

Cites Work

• Trading a mean-reverting asset: buy low and sell high
• A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT
• Trend Following Trading under a Regime Switching Model
• A Model for Reversible Investment Capacity Expansion
• Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
• On a semi-spectral method for pricing an option on a mean-reverting asset
• Optimal selling rules in a regime switching model
• Stochastic differential equations. An introduction with applications.

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