ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS

DOI10.1142/S0219024916500382zbMath1396.91679OpenAlexW3124539930MaRDI QIDQ2828051

Álvaro Cartea, Sebastian Jaimungal

Publication date: 24 October 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500382

zbMATH Keywords

stochastic controlco-integrationhigh-frequency tradingpairs tradingalgorithmic tradingshort-term alpha

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (10)

Optimal Cross-Border Electricity Trading ⋮ Model-based pairs trading in the bitcoin markets ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ Optimal convergence trading with unobservable pricing errors ⋮ OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK ⋮ Pairs trading with topological data analysis ⋮ High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control ⋮ Optimal dynamic basis trading

Cites Work

• Unnamed Item
• Optimal switching for the pairs trading rule: a viscosity solutions approach
• ALGORITHMIC TRADING WITH LEARNING
• Buy Low, Sell High: A High Frequency Trading Perspective
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

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