An optimal strategy for pairs trading under geometric Brownian motions
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Publication:1626514
DOI10.1007/s10957-017-1065-8zbMath1418.91491OpenAlexW2582976809MaRDI QIDQ1626514
Jingzhi Tie, Qing Zhang, Han-Qin Zhang
Publication date: 27 November 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-017-1065-8
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (6)
Pairs Trading under Geometric Brownian Motion Models ⋮ On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers ⋮ Switching between a pair of stocks: an optimal trading rule ⋮ Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses ⋮ Generalization of affine feedback stock trading results to include stop-loss orders ⋮ Pairs trading: an optimal selling rule under a regime switching model
Cites Work
- Optimal investment and consumption with transaction costs
- Optimal time to invest when the price processes are geometric Brownian motions
- An optimal pairs-trading rule
- Trading a mean-reverting asset: buy low and sell high
- Stock Trading: An Optimal Selling Rule
- Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs
- Trend Following Trading under a Regime Switching Model
- A Model for Reversible Investment Capacity Expansion
- Optimal selling rules in a regime switching model
- Portfolio Selection with Transaction Costs
- Stochastic differential equations. An introduction with applications.
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