Analytic solutions for optimal statistical arbitrage trading

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 11, 2010, Pages 2234-2243

  Bertram, William K ^a  

^a Investment Technology Group Inc   (Australia)

Author keywords

Econophysics; First passage time; Stochastic processes

Indexed keywords

RANDOM PROCESSES; STOCHASTIC SYSTEMS;

ANALYTIC SOLUTION; ECONOPHYSICSS; EXACT ANALYTIC SOLUTIONS; FIRST PASSAGE TIME; OBJECTIVE FUNCTIONS; OPTIMAL STRATEGIES; ORNSTEIN-UHLENBECK PROCESS; STATISTICAL ARBITRAGE;

COMMERCE;

EID: 77949569881     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.01.045     Document Type: Article

References (31)

1. C. Alexander, A. Dimitriu, Discussion Paper 2002-08, IMSA Centre Discussion Papers in Finance Series, 2002.
2. Elliott R.J., van der Hoek J., and Malcolm W.P. Quant. Finance 5 (2005) 271
3. Vidyamurthy G. Pairs Trading: Quantitative Methods and Analysis (2004), Wiley Finance
4. Kestner L. Quantitative Trading Strategies (2003), McGraw Hill
5. Bertram W.K. Physica A 388 (2009) 2865
6. Trapletti A., Geyer A., and Leisch F. J. Forecast. 21 (2002) 151
7. Gatev E., Goetzmann W.N., and Rouwenhorst K.G. Rev. Fin. Stud. 19 (2006) 797
8. Markowitz H.M. J. Finance 7 (1952) 77
9. Sharpe W.F. J. Portfolio Manag. 21 (1994) 49
10. Bertram W.K. Physica A 341 (2004) 533
11. Dacorogna M.M., Gencay R., Muller U.A., Olsen R.B., and Pictet O.V. An Introduction to High Frequency Finance (2001), Academic Press, London
12. Clark P.K. Econometrica 41 (1973) 135
13. Heyde C.C. J. Appl. Probab. 36 (1999) 1234
14. Geman H., and Ane T. Risk 9 (1996) 146
15. Perello J., Masoliver J., Kasprzak A., and Kutner R. Phys. Rev. E 78 (2008) 036108
16. Scalas E., Gorenflo R., and Mainardi F. Physica A 284 (2000) 376
17. Scalas E., Kaizoji T., Kirchler M., Huber J., and Tedeschi A. Physica A 366 (2006) 463
18. Scalas E., Gorenflo R., Luckock H., Mainardi F., Mantelli M., and Raberto M. Quant. Finance 4 (2004) 695
19. Sazuka N., Inoue J., and Scalas E. Physica A 388 (2009) 2838
20. Perello J., and Masoliver J. Physica A 308 (2002) 420
21. Darling D.A., and Siegert A.J.F. Ann. Math. Statist. 24 (1953) 624
22. Cox D.R., and Miller H.D. The Theory of Stochastic Processes (1977), Chapman & Hall/CRC
23. Tuckwell H.C. Introduction to Theoretical Neurobiology (volume 2): Nonlinear and Stochastic Theories (1998), Cambridge University Press, Cambridge
24. Madec Y., and Japhet C. Math. Biosci. 189 (2004) 131
25. Masoliver J., and Perello J. Phys. Rev. E 80 (2009) 016108
26. Jeanblanc M., and Rutkowski M. Modelling Default Risk: An Overview (2000), Higher Education Press, Beijing p. 171
27. Borodin A.N., and Salminen P. Handbook of Brownian Motion: Facts and Formulae (1996), Birkhauser
28. Klein G. Proc. R. Soc. A 211 (1952) 431
29. Thomas M.U. J. Appl. Probab. 12 (1975) 600
30. Sato S. J. Appl. Probab. 14 (1977) 850
31. Ricciardi L.M., and Sato S. J. Appl. Probab. 25 (1988) 43