Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process

DOI10.1080/14697688.2020.1736613zbMATH Open1454.91267OpenAlexW3015132459MaRDI QIDQ5139232FDOQ5139232

Authors: Lan Wu, Xin Zang, Hongxin Zhao 

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1736613

Recommendations

• Pairs trading: optimal thresholds and profitability
• Optimal pairs trading with dynamic mean-variance objective
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Optimal pairs trading of mean-reverting processes over multiple assets
• Optimal pairs trading strategies: a stochastic mean-variance approach

zbMATH Keywords

pairs tradingtwo-sided exit problemoptimal thresholdsLévy-driven Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Cites Work

• A jump-diffusion model for option pricing
• Title not available (Why is that?)
• Pairs trading
• First passage times of a jump diffusion process
• The First Passage Problem for a Continuous Markov Process
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Optimal closing of a pair trade with a model containing jumps.
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• On exit times of Levy-driven Ornstein-Uhlenbeck processes
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
• Title not available (Why is that?)
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• On the First Passage Time Under Regime-Switching with Jumps
• Title not available (Why is that?)
• A stochastic model for commodity pairs trading
• Ornstein-Uhlenbeck process with non-Gaussian structure
• Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications
• Intraday pairs trading strategies on high frequency data: the case of oil companies
• Analytic value function for optimal regime-switching pairs trading rules
• Pairs trading: optimal thresholds and profitability

Cited In (3)

• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
• Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
• Generalised Lyapunov Functions and Functionally Generated Trading Strategies

This page was built for publication: Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5139232)