Optimal mean-reverting spread trading: nonlinear integral equation approach

DOI10.1007/s10436-017-0295-yzbMath1388.91145arXiv1701.00875OpenAlexW2567227551MaRDI QIDQ2408713

Yerkin Kitapbayev, Tim Leung

Publication date: 13 October 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.00875

zbMATH Keywords

integral equationoptimal stoppinglocal timefree-boundary problemspread trading

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Volterra integral equations (45D05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ Sparse mean-reverting portfolios via penalized likelihood optimization ⋮ Optimal dynamic basis trading

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