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

DOI10.4064/BC122-13zbMATH Open1460.91254OpenAlexW3130207198MaRDI QIDQ4989153FDOQ4989153

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

Recommendations

• Pairs trading: an optimal selling rule
• An optimal strategy for pairs trading under geometric Brownian motions
• Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
• An optimal pairs-trading rule
• Optimal switching for the pairs trading rule: a viscosity solutions approach

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (15)

• Pairs trading under geometric Brownian motions with regime switching
• The optimal thresholds of pairs trading with a stop-loss condition
• Pairs trading under geometric Brownian motion models
• Optimal switching for the pairs trading rule: a viscosity solutions approach
• 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

This page was built for publication: Pairs trading: an optimal selling rule under a regime switching model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4989153)