Pairs trading: optimal thresholds and profitability
From MaRDI portal
Publication:5247270
DOI10.1080/14697688.2014.917806zbMath1397.91567OpenAlexW1993645729MaRDI QIDQ5247270
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.917806
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items
A stochastic model for commodity pairs trading ⋮ Analytic value function for optimal regime-switching pairs trading rules ⋮ Intraday pairs trading strategies on high frequency data: the case of oil companies ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Bertram's pairs trading strategy with bounded risk ⋮ A renewal theory approach to two-state switching problems with infinite values ⋮ A hybrid convolutional neural network with long short-term memory for statistical arbitrage ⋮ 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 ⋮ ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns ⋮ A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES
Cites Work
- Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique
- Loss protection in pairs trading through minimum profit bounds: A cointegration approach
- Statistical arbitrage in the US equities market
- First-passage-time density and moments of the ornstein-uhlenbeck process
- Some mean first-passage time approximations for the Ornstein-Uhlenbeck process
- Evaluation of the first-passage time probability to a square root boundary for the Wiener process
- Optimal Liquidation of a Pairs Trade
- Pairs trading
- The First Passage Problem for a Continuous Markov Process
