Optimal switching for the pairs trading rule: a viscosity solutions approach

DOI10.1016/j.jmaa.2016.03.060zbMath1338.91134arXiv1412.7649OpenAlexW3125933830MaRDI QIDQ275316

Minh-Man Ngo, Huyên Pham

Publication date: 25 April 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7649

zbMATH Keywords

viscosity solutionsmean-reverting processoptimal switchingpairs trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (9)

Pairs trading under delayed cointegration ⋮ Model-based pairs trading in the bitcoin markets ⋮ A free boundary problem arising from a multi-state regime-switching stock trading model ⋮ MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS ⋮ Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach ⋮ Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

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• Pairs trading

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