PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION
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Publication:4555856
DOI10.1142/S0219024918500462zbMath1417.91430arXiv1704.06697MaRDI QIDQ4555856
Katia Colaneri, Sühan Altay, Zehra Eksi
Publication date: 23 November 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.06697
Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (6)
TRADING MULTIPLE MEAN REVERSION ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Implicit incentives for fund managers with partial information ⋮ The value of knowing the market price of risk ⋮ Optimal convergence trading with unobservable pricing errors ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
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