An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions

This paper is concerned with an optimal strategy for simultaneously trading of a pair of stocks. The idea of pairs trading is to monitor their price movements and compare their relative strength over time. A pairs trade is triggered by their prices divergence and consists of a pair of positions to s...

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Veröffentlicht in:	Journal of optimization theory and applications 2018-11, Vol.179 (2), p.654-675
Hauptverfasser:	Tie, Jingzhi, Zhang, Hanqin, Zhang, Qing
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications of Mathematics Brownian motion Calculus of Variations and Optimal Control Optimization Dependence Divergence Economic models Engineering Mathematical models Mathematics Mathematics and Statistics Operations Research/Decision Theory Optimization Prices Reversion Securities trading Stock prices Strategy Theory of Computation
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