Optimal pairs trading of mean-reverting processes over multiple assets

DOI10.3934/NACO.2022014MaRDI QIDQ6164088zbMATH OpenOpenAlexFDO

Authors Pengxu Xie, Lihua Bai, Huayue Zhang

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2022014

zbMATH Keywords

exponential utilityHamilton-Jacobi-Bellman equationOrnstein-Uhlenbeck processpairs trading

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• Dynamic pairs trading using the stochastic control approach
• Optimal dynamic basis trading
• Pairs trading

Cited in

(19)

• An optimal strategy for pairs trading under geometric Brownian motions
• Dynamic pairs trading using the stochastic control approach
• Optimal pairs trading with dynamic mean-variance objective
• Pairwise trade and coexistence of money and higher-return assets
• Optimal pairs trading strategies: a stochastic mean-variance approach
• A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
• Algorithmic trading of co-integrated assets
• Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
• Optimal closing of a pair trade with a model containing jumps.
• A stochastic model for commodity pairs trading
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Pairs trading under drift uncertainty and risk penalization
• OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• TRADING MULTIPLE MEAN REVERSION
• Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
• Pairs trading: optimal thresholds and profitability
• Investigation of multivariate pairs trading under copula approach with mixture distribution
• An optimal trading rule of a mean-reverting asset

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