Costly arbitrage through pairs trading

DOI10.1016/J.JEDC.2015.04.006zbMath1401.91588OpenAlexW2045089299MaRDI QIDQ1657539

Jing Xu, Yaoting Lei

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.04.006

zbMATH Keywords

transaction costspairs tradingdelta-neutral strategiesrisky arbitrage

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (11)

Optimal switching for the pairs trading rule: a viscosity solutions approach ⋮ Pairs trading under delayed cointegration ⋮ Optimal Cross-Border Electricity Trading ⋮ Statistical arbitrage for multiple co-integrated stocks ⋮ Model-based pairs trading in the bitcoin markets ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Robust dynamic pairs trading with cointegration ⋮ Optimal convergence trading with unobservable pricing errors ⋮ Pairs trading with illiquidity and position limits ⋮ High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Mean-variance portfolio selection of cointegrated assets
• Option valuation with co-integrated asset prices
• Intensity-based framework and penalty formulation of optimal stopping problems
• Dynamic pairs trading using the stochastic control approach
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Trend Following Trading under a Regime Switching Model
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Pairs trading

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