Trading a mean-reverting asset: Buy low and sell high

被引：59
|
作者：
Zhang, Hanqin [2 ,3 ]
Zhang, Qing [1 ]
机构：
[1] Univ Georgia, Dept Math, Athens, GA 30602 USA
[2] Acad Sinica, Acad Math & Syst Sci, Beijing 100080, Peoples R China
[3] Chinese Acad Sci, Acad Math & Syst Sci, Res Operat Div, Beijing, Peoples R China
来源：
AUTOMATICA | 2008年 / 44卷 / 06期
关键词：
optimal stopping; quasi-variational inequalities; mean-reverting process;
D O I：
10.1016/j.automatica.2007.11.003
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper is concerned with an optimal trading (buy and sell) rule. The underlying asset price is governed by a mean-reverting model. The objective is to buy and sell the asset so as to maximize the overall return. Slippage cost is imposed on each transaction. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the original optimal stopping problem can be obtained by solving two quasi-algebraic equations. Sufficient conditions are given in the form of a verification theorem. A numerical example is reported to demonstrate the results. (c) 2008 Elsevier Ltd. All rights reserved.
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页码：1511 / 1518
页数：8
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