Pairs trading under a mean reversion model with regime switching

DOI10.3934/NACO.2023023MaRDI QIDQ6668654

Jingzhi Tie, Emily Crawford Das, Q. Zhang, Phong Thanh Luu

Publication date: 22 January 2025

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

regime switchingquasi-variational inequalitiespairs tradingBrownian motionsoptimal policymean reversions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• Switching problem and related system of reflected backward SDEs
• An optimal trading rule under a switchable mean-reversion model
• An optimal pairs-trading rule
• Trading a mean-reverting asset: buy low and sell high
• Stock trading: an optimal selling rule
• Trend Following Trading under a Regime Switching Model
• A Model for Reversible Investment Capacity Expansion
• Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
• On a semi-spectral method for pricing an option on a mean-reverting asset
• Optimal selling rules in a regime switching model
• An equilibrium characterization of the term structure
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Pairs trading under a mean reversion model with regime switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6668654)