Optimal Liquidation of a Pairs Trade

DOI10.1007/978-3-642-18412-3_9zbMath1232.91618OpenAlexW1489316505MaRDI QIDQ5198562

Johan Tysk, Carl Lindberg, Erik Ekström

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_9

zbMATH Keywords

Ornstein-Uhlenbeck processdiscount factorpairs tradingoptimal stopping theorystop-loss barrier

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (13)

PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Optimal closing of a pair trade with a model containing jumps. ⋮ Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics ⋮ MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration ⋮ TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS ⋮ Pairs Trading with Opportunity Cost ⋮ Optimal double stopping of a Brownian bridge ⋮ Pairs trading: optimal thresholds and profitability ⋮ Kalman filter approach to real options with active learning ⋮ A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES ⋮ OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

This page was built for publication: Optimal Liquidation of a Pairs Trade