Pairs trading: an optimal selling rule under a regime switching model

DOI10.4064/BC122-13MaRDI QIDQ4989153zbMATH OpenOpenAlexFDO

Authors Jingzhi Tie, Q. Zhang

Publication date 20 May 2021

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc122-13

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• A Model for Reversible Investment Capacity Expansion
• An optimal pairs-trading rule
• An optimal strategy for pairs trading under geometric Brownian motions
• Optimal time to invest when the price processes are geometric Brownian motions
• Pairs trading
• Stochastic differential equations. An introduction with applications.
• Stock trading: an optimal selling rule
• Trading a mean-reverting asset: buy low and sell high
• Trend following trading under a regime switching model

Cited in

(15)

• The optimal thresholds of pairs trading with a stop-loss condition
• Pairs trading under geometric Brownian motions with regime switching
• Optimal switching for the pairs trading rule: a viscosity solutions approach
• Pairs trading under geometric Brownian motion models
• Switching between a pair of stocks: an optimal trading rule
• An optimal strategy for pairs trading under geometric Brownian motions
• Pairs trading: an optimal selling rule
• Pairs trading with opportunity cost
• Analytic value function for optimal regime-switching pairs trading rules
• An optimal pairs-trading rule
• Estimating a regime switching pairs trading model
• Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
• Pairs trading under GBM with reversible positions
• Pairs trading under a mean reversion model with regime switching
• Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses

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