On optimal thresholds for pairs trading in a one-dimensional diffusion model

DOI10.1017/S1446181121000298zbMATH Open1475.60157OpenAlexW4246531164MaRDI QIDQ5158748FDOQ5158748

Authors: Masaaki Fukasawa, Hitomi Maeda, Jun Sekine 

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000298

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zbMATH Keywords

asymptotic arbitragefirst passage timepairs tradingPearson diffusionone-dimensional diffusionthreshold rulelong-time averaged profit

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Financial markets (91G15)

Cites Work

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• Stochastic Calculus
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• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Asymptotic arbitrage and large deviations
• Pairs trading: optimal thresholds and profitability

Cited In (3)

• Pairs trading: optimal thresholds and profitability
• Ergodic aspects of trading with threshold strategies
• Simultaneously long short trading in discrete and continuous time

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