Analytic value function for optimal regime-switching pairs trading rules

DOI10.1080/14697688.2017.1336281zbMATH Open1400.91527OpenAlexW2736839287MaRDI QIDQ4554446FDOQ4554446

Authors: Yang Bai, Lan Wu 

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1336281

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zbMATH Keywords

regime-switchingpairs tradingoptimal thresholdsdouble boundary stopping timeMarkov-modulated O-U process

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

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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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