Dynamic pairs trading using the stochastic control approach

DOI10.1016/j.jedc.2013.05.010zbMath1402.91737OpenAlexW3125190915MaRDI QIDQ1994134

Raphael Yan, Agnès Tourin

Publication date: 1 November 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.2013.05.010

zbMATH Keywords

co-integrationoptimal stochastic controlpairs tradingHamilton Jacobi Bellman equationMerton problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (33)

Optimal switching for the pairs trading rule: a viscosity solutions approach ⋮ Pairs trading under delayed cointegration ⋮ Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints ⋮ Optimal Cross-Border Electricity Trading ⋮ Statistical arbitrage for multiple co-integrated stocks ⋮ A pairs trading strategy based on linear state space models and the Kalman filter ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Alternative to beta coefficients in the context of diffusions ⋮ Model-based pairs trading in the bitcoin markets ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Costly arbitrage through pairs trading ⋮ TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE ⋮ Robust dynamic pairs trading with cointegration ⋮ Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models ⋮ Optimal pairs trading strategies: a stochastic mean-variance approach ⋮ On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers ⋮ Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy ⋮ Optimal pairs trading of mean-reverting processes over multiple assets ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ An empirical study on the threshold cointegration of Chinese A and H cross-listed shares ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ Firm value and the impact of operational management ⋮ Optimal pairs trading with dynamic mean-variance objective ⋮ Optimal convergence trading with unobservable pricing errors ⋮ Pairs trading with illiquidity and position limits ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ Optimal investment and consumption under a continuous-time cointegration model with exponential utility ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns ⋮ Optimal dynamic basis trading ⋮ OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT ⋮ Optimal switching strategy of a mean-reverting asset over multiple regimes

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Option valuation with co-integrated asset prices
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• Pairs trading

This page was built for publication: Dynamic pairs trading using the stochastic control approach