Pairs trading with opportunity cost

Journal of Applied Probability

Volumn 51, Issue 1, 2014, Pages 282-286

  Lindberg, Carl ^a  

^a The Second Swedish National Pension Fund   (Sweden)

Author keywords

Opportunity cost; Optimal stopping; Optimization; Pairs trading; Trading

Indexed keywords

EID: 84903784458     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1395771429     Document Type: Article

References (9)

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3. Elliott, R. J., van der Hoek, J. and Malcolm, W. P. (2005). Pairs trading. Quant. Finance 5,271-276. (Pubitemid 41311624)
4. Gatev, E., Goetzmann, W. N. and Rouwenhorst, K. G. (2006). Pairs trading: performance of a relative-value arbitrage rule. Rev. Financial Studies 19,797-827. (Pubitemid 44290383)
5. Karatzas, I. and Shreve, S. E. (1991). Brownian Motion and Stochastic Calculus. Springer, New York.
6. Larsson, S., Lindberg, C. and Warfheimer, M. (2013). Optimal closing of apair trade with amodel containing jumps. Appl. Math. 58, 249-268.
7. Peskir, G. and Shiryaev, A. (2006). Optimal Stopping and Free-Boundary Problems. Birkhauser, Basel.
8. Vidyamurthy, G. (2004). Pairs Trading: Quantitative Methods and Analysis. John Wiley, Hoboken, NJ.
9. Whistler, M. (2004). Trading Pairs: Capturing Profits and Hedging Risk with Statistical Arbitrage Strategies. John Wiley, Hoboken, NJ.