An optimal strategy for pairs trading under geometric Brownian motions

DOI10.1007/s10957-017-1065-8zbMath1418.91491OpenAlexW2582976809MaRDI QIDQ1626514

Jingzhi Tie, Qing Zhang, Han-Qin Zhang

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-017-1065-8

zbMATH Keywords

quasi-variational inequalitiespairs tradingoptimal policy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Pairs Trading under Geometric Brownian Motion Models ⋮ On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers ⋮ Switching between a pair of stocks: an optimal trading rule ⋮ Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses ⋮ Generalization of affine feedback stock trading results to include stop-loss orders ⋮ Pairs trading: an optimal selling rule under a regime switching model

Cites Work

• Optimal investment and consumption with transaction costs
• Optimal time to invest when the price processes are geometric Brownian motions
• An optimal pairs-trading rule
• Trading a mean-reverting asset: buy low and sell high
• Stock Trading: An Optimal Selling Rule
• Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs
• Trend Following Trading under a Regime Switching Model
• A Model for Reversible Investment Capacity Expansion
• Optimal selling rules in a regime switching model
• Portfolio Selection with Transaction Costs
• Stochastic differential equations. An introduction with applications.

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