Optimal closing of a pair trade with a model containing jumps.

DOI10.1007/s10492-013-0012-8zbMath1289.91154arXiv1004.2947OpenAlexW3098807584WikidataQ59593862 ScholiaQ59593862MaRDI QIDQ375434

Carl Lindberg, Stig Larsson, Marcus Warfheimer

Publication date: 30 October 2013

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.2947

zbMATH Keywords

finite element methodoptimal stoppingerror estimatepairs tradingOrnstein-Uhlenbeck-type process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Bertram's pairs trading strategy with bounded risk ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process ⋮ Pairs Trading with Opportunity Cost ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns ⋮ A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES

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• An Observation Concerning Ritz-Galerkin Methods with Indefinite Bilinear Forms
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• The Mathematical Theory of Finite Element Methods
• Pairs trading