Optimal pair-trading strategy over long/short/square positions—empirical study

DOI10.1080/14697688.2017.1346277zbMath1400.91655OpenAlexW2747118331MaRDI QIDQ4554412

Kiyoshi Suzuki

Publication date: 14 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1346277

zbMATH Keywords

Ornstein-Uhlenbeck processMonte Carlo simulationcointegrationoptimal multiple switching problemswitching regionsempirical simulationpair-trading strategystub trading

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Diffusion processes (60J60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (2)

Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach ⋮ A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES

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