Pairs trading
From MaRDI portal
Publication:5711166
DOI10.1080/14697680500149370zbMath1134.91415OpenAlexW4256431242MaRDI QIDQ5711166
Robert J. Elliott, John van der Hoek, William P. Malcolm
Publication date: 9 December 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500149370
Related Items
Optimal switching for the pairs trading rule: a viscosity solutions approach, High-frequency stock linkage and multi-dimensional stationary processes, Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints, Pairs Trading under Geometric Brownian Motion Models, Statistical arbitrage in jump-diffusion models with compound Poisson processes, Statistical arbitrage for multiple co-integrated stocks, A pairs trading strategy based on linear state space models and the Kalman filter, Dynamic mode decomposition for financial trading strategies, A stochastic model for commodity pairs trading, Optimal pair-trading strategy over long/short/square positions—empirical study, Pairs trading with partial cointegration, Analytic value function for optimal regime-switching pairs trading rules, Estimating a regime switching pairs trading model, Forecasting trends with asset prices, PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION, Costly arbitrage through pairs trading, A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY, Optimal closing of a pair trade with a model containing jumps., Optimal mean-reverting spread trading: nonlinear integral equation approach, Stationary density function for a random evolution driven by a Markov-switching Ornstein-Uhlenbeck process with finite velocity, Bertram's pairs trading strategy with bounded risk, Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes, Generalized statistical arbitrage concepts and related gain strategies, Optimal pairs trading strategies: a stochastic mean-variance approach, On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers, Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions, Pairs trading via unsupervised learning, A hybrid convolutional neural network with long short-term memory for statistical arbitrage, Optimal pairs trading of mean-reverting processes over multiple assets, Statistical arbitrage: factor investing approach, MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS, Pairs trading with a mean-reverting jump–diffusion model on high-frequency data, Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process, Firm value and the impact of operational management, Pairs trading based on statistical variability of the spread process, Optimal pairs trading with dynamic mean-variance objective, Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment, Long memory and crude oil's price predictability, Dynamic pairs trading using the stochastic control approach, Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration, TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS, Pairs Trading with Opportunity Cost, Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading, Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique, Dynamic modeling of mean-reverting spreads for statistical arbitrage, Data-driven methods for equity similarity prediction, Statistical arbitrage in the Black–Scholes framework, Optimal pair-trading strategy over long/short/square positions—empirical study, Pairs trading with partial cointegration, Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market, Systematic risk in pairs trading and dynamic parameterization, Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses, A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns, Pairs trading: an optimal selling rule under a regime switching model, Robust statistical arbitrage strategies, Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach, Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models, Pairs trading: optimal thresholds and profitability, A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES, Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer, OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT, Basket trading under co-integration with the logistic mixture autoregressive model, Optimal switching strategy of a mean-reverting asset over multiple regimes
Cites Work