An optimal pairs-trading rule

Automatica

Volumn 49, Issue 10, 2013, Pages 3007-3014

  Song, Qingshuo ^a   Zhang, Qing ^b  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^b UNIVERSITY OF GEORGIA   (United States)

Author keywords

Mean reverting process; Optimal stopping; Pairs trading; Quasi variational inequalities

Indexed keywords

HJB EQUATIONS; OPTIMAL STOPPING; OPTIMAL STOPPING PROBLEM; PAIRS TRADING; QUASI VARIATIONAL INEQUALITIES; STATE CONSTRAINTS; VALUE FUNCTIONS; VERIFICATION THEOREM;

OPTIMIZATION; VARIATIONAL TECHNIQUES;

COMMERCE;

EID: 84883143348     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2013.07.012     Document Type: Article

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