Dynamic pairs trading using the stochastic control approach
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Cites work
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- Optimum consumption and portfolio rules in a continuous-time model
- Option valuation with co-integrated asset prices
- Pairs trading
Cited in
(42)- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- Costly arbitrage through pairs trading
- Firm value and the impact of operational management
- Statistical arbitrage for multiple co-integrated stocks
- Equilibrium pairs trading under delayed cointegration
- Optimal pairs trading with dynamic mean-variance objective
- Optimal convergence trading with unobservable pricing errors
- Pairs trading with illiquidity and position limits
- Optimal dynamic basis trading
- Robust dynamic pairs trading with cointegration
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- Optimal pairs trading strategies: a stochastic mean-variance approach
- Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
- Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
- A pairs trading strategy based on linear state space models and the Kalman filter
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Alternative to beta coefficients in the context of diffusions
- Model-based pairs trading in the bitcoin markets
- Pairs trading under drift uncertainty and risk penalization
- Trading strategies within the edges of no-arbitrage
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Pairs trading under delayed cointegration
- Optimal cross-border electricity trading
- Data-driven stock trading in financial markets: an adaptive control approach
- An empirical study on the threshold cointegration of Chinese A and H cross-listed shares
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
- High-dimensional statistical arbitrage with factor models and stochastic control
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Optimal portfolio execution under time-varying liquidity constraints
- Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models
- On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers
- Optimal pairs trading of mean-reverting processes over multiple assets
- Pairs trading with stock borrowing fee
- A cross-border market model with limited transmission capacities
- Pairs trading with costly short-selling
- Pair trading strategies in the cryptoassets market: a cointegration framework with optimized thresholds using genetic algorithms
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