scientific article; zbMATH DE number 7514018

MaRDI QIDQ5072165zbMATH OpenFDO

Authors Phong Thanh Luu, Jingzhi Tie, Q. Zhang

Publication date 25 April 2022

Full work available at URL http://yokohamapublishers.jp/online2/opaao/vol2/p117.html

zbMATH Keywords

geometric Brownian motionsmean reversion modeloptimal trading strategypairs trading

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Pairs trading
• Pairs trading with opportunity cost
• Pairs trading: optimal thresholds and profitability
• An optimal pairs-trading rule
• Pairs trading with partial cointegration
• Pairs trading with partial cointegration
• Pairs trading based on statistical variability of the spread process
• Pairs trading with illiquidity and position limits
• Pairs trading: an optimal selling rule

Cited in

(7)

• Bertram's pairs trading strategy with bounded risk
• Profitability of a simple pairs trading strategy: recent evidences from a global context
• A pairs trading strategy based on linear state space models and the Kalman filter
• Pairs trading under geometric Brownian motion models
• A regime-switching relative value arbitrage rule
• Pairs trading
• Pairs trading with topological data analysis

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5072165)