Pairs Trading with Opportunity Cost

DOI10.1239/jap/1395771429zbMath1291.91248OpenAlexW1995701575MaRDI QIDQ5416556

Carl Lindberg

Publication date: 14 May 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1395771429

zbMATH Keywords

optimizationoptimal stoppingtradingpairs tradingopportunity cost

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (1)

A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES

Cites Work

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• Optimal closing of a pair trade with a model containing jumps.
• Optimal Liquidation of a Pairs Trade
• Pairs trading

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