Bertram's pairs trading strategy with bounded risk

DOI10.1007/S10100-021-00763-4MaRDI QIDQ2673290zbMATH OpenOpenAlexFDO

Authors Vladimír Holý, Michal Černý

Publication date 9 June 2022

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.04160

zbMATH Keywords

bounded risk tradingfinancial data streamhigh-frequency tradingOrnstein-Uhlenbeck processpairs trading

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
• A stochastic model for commodity pairs trading
• Analytic value function for optimal regime-switching pairs trading rules
• Intraday pairs trading strategies on high frequency data: the case of oil companies
• Optimal closing of a pair trade with a model containing jumps.
• Pairs trading
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Pairs trading: optimal thresholds and profitability
• Revisions of modern portfolio theory optimization model
• Stability advances in robust portfolio optimization under parallelepiped uncertainty
• Statistical arbitrage in the US equities market

Cited in

(1)

• Product relation correlation and its use in product clustering

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