Estimating a regime switching pairs trading model

DOI10.1080/14697688.2017.1403035zbMath1400.91539OpenAlexW2780331365MaRDI QIDQ4554469

Robert J. Elliott, Reza Bradrania

Publication date: 14 November 2018

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

Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12152828940001831

zbMATH Keywords

quantitative trading strategiesapplied mathematical financearbitrage relationshipstate-dependent trading strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Optimal convergence trading with unobservable pricing errors ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Cites Work

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• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• Pairs trading

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