Estimating a regime switching pairs trading model

DOI10.1080/14697688.2017.1403035MaRDI QIDQ4554469zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Reza Bradrania

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12152828940001831

zbMATH Keywords

quantitative trading strategiesapplied mathematical financearbitrage relationshipstate-dependent trading strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• Pairs trading

Cited in

(10)

• Asset pricing using trading volumes in a hidden regime-switching environment
• On model robustness of the regime switching approach for pegged foreign exchange markets
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• An adaptive regime-switching regression model for hedge funds
• Information geometry of a regime-switching model with time-varying parameters.
• 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
• scientific article; zbMATH DE number 2133112 (Why is no real title available?)
• A switching microstructure model for stock prices
• Optimal convergence trading with unobservable pricing errors

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