Analytic value function for optimal regime-switching pairs trading rules
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Publication:4554446
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Cites work
- scientific article; zbMATH DE number 2133115 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 920058 (Why is no real title available?)
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- Pairs trading
- Pairs trading: optimal thresholds and profitability
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Cited in
(8)- A hybrid convolutional neural network with long short-term memory for statistical arbitrage
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- Bertram's pairs trading strategy with bounded risk
- Estimating a regime switching pairs trading model
- A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
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