Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses

DOI10.1016/J.AUTOMATICA.2020.108912zbMath1436.91107OpenAlexW3007642575MaRDI QIDQ2307598

Ruyi Liu, Qing Zhang, Zhen Wu

Publication date: 24 March 2020

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2020.108912

zbMATH Keywords

optimal controlpairs tradingBrownian motions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15)

Related Items (4)

Pairs Trading under Geometric Brownian Motion Models ⋮ Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls ⋮ On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers ⋮ Dynamic trading with Markov liquidity switching

Cites Work

• An optimal strategy for pairs trading under geometric Brownian motions
• An optimal pairs-trading rule
• An explicit solution to an optimal stopping problem with regime switching
• Pairs trading

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