Dynamic pairs trading using the stochastic control approach

Journal of Economic Dynamics and Control

Volumn 37, Issue 10, 2013, Pages 1972-1981

  Tourin, Agnès ^a   Yan, Raphael ^b  

^a POLYTECHNIC UNIVERSITY   (United States)

^b BlackRock Inc   (United States)

Author keywords

Co integration; Hamilton Jacobi Bellman equation; Merton problem; Optimal stochastic control; Pairs trading

Indexed keywords

EID: 84880665252     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2013.05.010     Document Type: Article

References (10)

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