Algorithmic trading of co-integrated assets

DOI10.1142/S0219024916500382MaRDI QIDQ2828051zbMATH OpenOpenAlexFDO

Authors Álvaro Cartea, Sebastian Jaimungal

Publication date 24 October 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024916500382

zbMATH Keywords

algorithmic tradingco-integrationhigh-frequency tradingpairs tradingshort-term alphastochastic control

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Trading co-integrated assets with price impact
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Cites work

• Algorithmic and high-frequency trading
• Algorithmic trading with learning
• Buy Low, Sell High: A High Frequency Trading Perspective
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Optimal switching for the pairs trading rule: a viscosity solutions approach

Cited in

(12)

• Optimal convergence trading with unobservable pricing errors
• Optimal dynamic basis trading
• Specification and execution of composite trading activities
• Model-based pairs trading in the bitcoin markets
• Pairs trading under drift uncertainty and risk penalization
• Trading strategies within the edges of no-arbitrage
• Optimal cross-border electricity trading
• Optimal dynamic futures portfolio under a multifactor Gaussian framework
• High-dimensional statistical arbitrage with factor models and stochastic control
• Optimal portfolio execution under time-varying liquidity constraints
• Trading co-integrated assets with price impact
• Pairs trading with topological data analysis

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