PAIRS TRADING UNDER A MEAN REVERSION MODEL WITH REGIME SWITCHING

被引：0
|
作者：
Das, Emily Crawford [1 ]
Luu, Phong Thanh [2 ]
Tie, Jingzhi [1 ]
Zhang, Qing [1 ]
机构：
[1] Univ Georgia, Dept Math, Athens, GA 30602 USA
[2] Univ North Georgia, Dept Math, Oakwood, GA 30566 USA
来源：
NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION | 2024年 / 14卷 / 04期
关键词：
Pairs trading; optimal policy; quasi-variational inequalities; regime switching; Brownian motions; mean reversions; OPTIMAL SELLING RULES;
D O I：
10.3934/naco.2023023
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is about an optimal pairs trading rule. A pairs position consists of a long position in one stock and a short position in the other. The problem is to find stopping times to open and then close the pairs position to maximize expected reward functions. In this paper, we consider the optimal pairs trading rule under a mean reversion model with regime switching. The optimal policy is characterized by threshold levels obtained by solving the associated HJB equations (quasi-variational inequalities). Moreover, numerical examples are provided to illustrate the results.
引用
收藏
页码：636 / 652
页数：17
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