منابع مشابه
Optimal Pairs Trading Rules
OPTIMAL PAIRS TRADING RULES by Eric Mueller The University of Wisconsin-Milwaukee, 2016 Under the Supervision of Professor Chao Zhu This thesis derives an optimal trading rule for a pair of historically correlated stocks. When one stock's price increases and the other one's decreases, a trade of the pair is triggered. The idea is to short the winner and to long the loser with the hope that the ...
متن کاملAn Optimal Trading Rule Under a Switchable Mean-Reversion Model
This work provides an optimal trading rule that allows buying and selling of an asset sequentially over time. The asset price follows a switchable mean-reversion model with a Markovian jump. Such model can be applied to assets with a “staircase” price behavior and yet simple enough to allow an analytic solution. The objective is to determine a sequence of trading times to maximize an overall re...
متن کاملPairs Trading and Accounting Information
This paper examines the impact of accounting information events (i.e., earnings announcements and analysts’ earnings forecasts) on the profitability of a pairs trading strategy proposed by Gatev et al. (2006). Using a portfolio of U.S. stock pairs between 1981 and 2006, we find that pairs trades are frequently triggered around accounting information events. More importantly, we find that pairs ...
متن کاملAn Intelligent Model for Pairs Trading Using Genetic Algorithms
Pairs trading is an important and challenging research area in computational finance, in which pairs of stocks are bought and sold in pair combinations for arbitrage opportunities. Traditional methods that solve this set of problems mostly rely on statistical methods such as regression. In contrast to the statistical approaches, recent advances in computational intelligence (CI) are leading to ...
متن کاملMonetary Trading: An Optimal Exchange System∗
We show that monetary trading is simple, self-enforcing, symmetric, and irreducible in a natural framework. Furthermore, we will show that the utility for each economic agent is at least as big under the monetary system as under any other simple, self-enforcing, symmetric, and irreducible trading system of the same complexity. Thus, we rationalize the monetary nature of real-world trade as bein...
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ژورنال
عنوان ژورنال: Automatica
سال: 2013
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2013.07.012