Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions

This paper is concerned with an optimal strategy for simultaneously trading 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 the divergence of their prices and consists of a pair of positions...

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Veröffentlicht in:	arXiv.org 2023-10
Hauptverfasser:	Emily Crawford Das, Tie, Jingzhi, Zhang, Qing
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Divergence Prices
Online-Zugang:	Volltext
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