Analytic value function for optimal regime-switching pairs trading rules
From MaRDI portal
Recommendations
- Pairs trading: an optimal selling rule under a regime switching model
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- Optimal switching for the pairs trading rule: a viscosity solutions approach
Cites work
- A Markov model for switching regressions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A regime-switching relative value arbitrage rule
- A second-order Markov-modulated fluid queue with linear service rate
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An explicit solution to an optimal stopping problem with regime switching
- An interest rate model with a Markovian mean reverting level
- An optimal trading rule under a switchable mean-reversion model
- Controlled Markov processes and viscosity solutions
- Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique
- scientific article; zbMATH DE number 2133115 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 920058 (Why is no real title available?)
- Loss protection in pairs trading through minimum profit bounds: A cointegration approach
- Markov-modulated Ornstein-Uhlenbeck processes
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- On a continuous time stock price model with regime switching, delay, and threshold
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- On the probability of ruin in a Markov-modulated risk model
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Optimal selling rules in a regime switching model
- Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
- Option pricing and Esscher transform under regime switching
- Option pricing in a regime-switching model using the fast Fourier transform
- Pairs trading
- Pairs trading: optimal thresholds and profitability
- Parameter estimation for Ornstein-Uhlenbeck processes driven by -stable Lévy motions
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
- Robust optimal portfolio choice under Markovian regime-switching model
- Statistical arbitrage in the US equities market
- Stock trading: an optimal selling rule
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- Trading a mean-reverting asset: buy low and sell high
- Trend following trading under a regime switching model
Cited in
(9)- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- Bertram's pairs trading strategy with bounded risk
- Estimating a regime switching pairs trading model
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
- A hybrid convolutional neural network with long short-term memory for statistical arbitrage
- Pairs trading with costly short-selling
This page was built for publication: Analytic value function for optimal regime-switching pairs trading rules
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554446)
