Pairs trading: an optimal selling rule

DOI10.3934/mcrf.2015.5.489zbMath1316.93125OpenAlexW2526890290MaRDI QIDQ2356558

Yanyan Li

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2015.5.489

zbMATH Keywords

mean-reverting processpairs tradingoptimal selling

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

Pairs Trading under Geometric Brownian Motion Models

Cites Work

• Trading a mean-reverting asset: buy low and sell high
• Stock Trading: An Optimal Selling Rule
• Optimal selling rules in a regime switching model

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