Pairs trading: an optimal selling rule

DOI10.3934/MCRF.2015.5.489MaRDI QIDQ2356558zbMATH OpenOpenAlexFDO

Authors 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 processoptimal sellingpairs trading

Mathematics Subject Classification ID

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

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Cites work

• Optimal selling rules in a regime switching model
• Stock trading: an optimal selling rule
• Trading a mean-reverting asset: buy low and sell high

Cited in

(18)

• Costly arbitrage through pairs trading
• Pairs trading with illiquidity and position limits
• Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
• An optimal pairs-trading rule
• Optimal switching for the pairs trading rule: a viscosity solutions approach
• Optimal closing of a pair trade with a model containing jumps.
• Model-based pairs trading in the bitcoin markets
• Pairs trading: an optimal selling rule under a regime switching model
• Pairs trading under delayed cointegration
• Pairs trading under geometric Brownian motion models
• scientific article; zbMATH DE number 7514018 (Why is no real title available?)
• On optimal thresholds for pairs trading in a one-dimensional diffusion model
• Optimal liquidation of a pairs trade
• Pairs trading: optimal thresholds and profitability
• A regime-switching relative value arbitrage rule
• Pairs trading with opportunity cost
• Pairs trading
• Loss protection in pairs trading through minimum profit bounds: A cointegration approach

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