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

DOI10.4064/bc122-13zbMath1460.91254OpenAlexW3130207198MaRDI QIDQ4989153

Jingzhi Tie, Qing 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

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

Related Items (1)

Pairs Trading under Geometric Brownian Motion Models

Cites Work

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

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