Paper Search Console

Home Search Page About Contact

Journal Title

Title of Journal: J Optim Theory Appl

Search In Journal Title:

Abbravation: Journal of Optimization Theory and Applications

Search In Journal Abbravation:

Publisher

Springer US

Search In Publisher:

DOI

10.1016/j.apnr.2017.02.003

Search In DOI:

ISSN

1573-2878

Search In ISSN:
Search In Title Of Papers:

An Optimal Strategy for Pairs Trading Under Geomet

Authors: Jingzhi Tie Hanqin Zhang Qing Zhang
Publish Date: 2017/01/30
Volume: 179, Issue: 2, Pages: 654-675
PDF Link

Abstract

This paper is concerned with an optimal strategy for simultaneously trading of 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 their prices divergence and consists of a pair of positions to short the strong stock and to long the weak one Such a strategy bets on the reversal of their price strengths From the viewpoint of technical tractability typical pairstrading models usually assume a difference of the stock prices satisfies a meanreversion equation In this paper we consider the optimal pairstrading problem by allowing the stock prices to follow general geometric Brownian motions The objective is to trade the pairs over time to maximize an overall return with a fixed commission cost for each transaction The optimal policy is characterized by threshold curves obtained by solving the associated HJB equations Numerical examples are included to demonstrate the dependence of our trading rules on various parameters and to illustrate how to implement the results in practice

Keywords:

References

.
Search In Abstract Of Papers:
Other Papers In This Journal:
  1. Incrementally Updated Gradient Methods for Constrained and Regularized Optimization
  2. Periodic Image Trajectories in Earth–Moon Space
  3. On Approximate KKT Condition and its Extension to Continuous Variational Inequalities
  4. A Note on Testing Axioms of Revealed Preference
  5. Duality Theorem for a Three-Phase Partition Problem
  6. Normality and Nondegeneracy for Optimal Control Problems with State Constraints
  7. Optimal Control for a Groundwater Pollution Ruled by a Convection–Diffusion–Reaction Problem
  8. Stability and Controllability Issues in Mathematical Modeling of the Intensive Treatment of Leukemia
  9. The Existence of Optimal Controls for Problems Defined on Time Scales
  10. Annealing a Genetic Algorithm for Constrained Optimization
  11. Convergent Bounds for Stochastic Programs with Expected Value Constraints
  12. Calmness and Exact Penalization in Constrained Scalar Set-Valued Optimization
  13. Splitting Methods with Variable Metric for Kurdyka–Łojasiewicz Functions and General Convergence Rates
  14. On Estimation in Interception Endgames
  15. Studies on Common Solutions of a Variational Inequality and a Fixed-Point Problem
  16. Closedness of the Solution Map in Quasivariational Inequalities of Ky Fan Type
  17. Distributed Stochastic Subgradient Projection Algorithms for Convex Optimization
  18. Harvesting Control for an Age-Structured Population in a Multilayered Habitat
  19. On Optimization over the Efficient Set in Linear Multicriteria Programming
  20. Some Existence Results of Solutions for General Variational Inequalities
  21. An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 1: Theory
  22. Sequential gradient-restoration algorithm for optimal control problems with bounded state
  23. Aerial Vehicle Search-Path Optimization: A Novel Method for Emergency Operations
  24. Generalized Qualification and Qualification Levels for Spectral Regularization Methods
  25. Optimality Conditions for Disjunctive Optimization in Reflexive Banach Spaces
  26. Global Optimality Conditions for Optimal Control Problems with Functions of A.D. Alexandrov
  27. Time-Optimal Control Problem for a Special Class of Control Systems: Optimal Controls and Approximation in the Sense of Time Optimality
  28. Directional Hölder Metric Regularity
  29. Existence and Uniqueness for a Linear Mixed Variational Inequality Arising in Electrical Circuits with Transistors
  30. The Effects of Adding Input Redundancies in Linear Quadratic Regulator Problems
  31. On Iterative Methods with Accelerated Convergence for Solving Systems of Nonlinear Equations
  32. Synchronization Criterion for Lur’e Systems via Delayed PD Controller
  33. On an Inequality of C. Sundberg: A Computational Investigation via Nonlinear Programming
  34. Convergence Analysis of Weighted Difference Approximations on Piecewise Uniform Grids to a Class of Singularly Perturbed Functional Differential Equations
  35. Social Interactions within a Dynamic Competitive Economy
  36. Game Analysis of Investment in a Group with Stickiness
  37. SI “Deterministic and Stochastic Variational Principles and Applications”. December 2015
  38. A New Approach to the Proximal Point Method: Convergence on General Riemannian Manifolds
  39. Infinite Dimensional Duality Theory Applied to Investment Strategies in Environmental Policy
  40. Approximate Functions in a Problem of Sets Separation
  41. Feasible Method for Generalized Semi-Infinite Programming
  42. On the Convergence of Adaptive Stochastic Search Methods for Constrained and Multi-objective Black-Box Optimization
  43. Stability of Solutions to Hamilton–Jacobi Equations Under State Constraints
  44. On Regularity for Constrained Extremum Problems. Part 2: Necessary Optimality Conditions
  45. A Generalization of the Classical α BB Convex Underestimation via Diagonal and Nondiagonal Quadratic Terms
  46. Mathematical Programs with Vanishing Constraints: Optimality Conditions, Sensitivity, and a Relaxation Method
  47. On the Finite Convergence of a Projected Cutter Method
Search Result: