A stochastic model for commodity pairs trading

DOI10.1080/14697688.2016.1211793zbMath1400.91591OpenAlexW2483327239MaRDI QIDQ4554248

Ahmet Göncü, Erdinç Akyıldırım

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1211793

zbMATH Keywords

pairs tradingcommodity futuresstatistical arbitrageoptimal thresholdsOrnstein-Uhlenbeck Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Bertram's pairs trading strategy with bounded risk ⋮ On the simulation of general tempered stable Ornstein–Uhlenbeck processes ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process ⋮ Optimal pairs trading with dynamic mean-variance objective ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Cites Work

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• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
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• A Test of Goodness of Fit

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