ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL

被引：0

作者：

Fukasawa, Masaaki ^{[1
]}

Maeda, Hitomi ^{[1
]}

Sekine, J. U. N. ^{[1
]}

机构：

[1] Osaka Univ, Grad Sch Engn Sci, 1-3 Machikaneyama, Toyonaka, Osaka 5608531, Japan

来源：

ANZIAM JOURNAL | 2021年 / 63卷 / 02期

基金：

日本学术振兴会;

关键词：

pairs trading; threshold rule; one-dimensional diffusion; first passage time; Pearson diffusion; long-time averaged profit; asymptotic arbitrage; STATISTICAL ARBITRAGE;

D O I：

10.1017/S1446181121000298

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the static maximization of long-term averaged profit, when optimal preset thresholds are determined to describe a pairs trading strategy in a general one-dimensional ergodic diffusion model of a stochastic spread process. An explicit formula for the expected value of a certain first passage time is given, which is used to derive a simple equation for determining the optimal thresholds. Asymptotic arbitrage in the long run of the threshold strategy is observed.

引用

页码：104 / 122

页数：19

共 50 条

[1] Pairs trading: optimal thresholds and profitability
Zeng, Zhengqin
Lee, Chi-Guhn
[J]. QUANTITATIVE FINANCE, 2014, 14 (11) : 1881 - 1893
[2] On the optimal stopping of a one-dimensional diffusion
Lamberton, Damien
Zervos, Mihail
[J]. ELECTRONIC JOURNAL OF PROBABILITY, 2013, 18 : 1 - 49
[3] On an Optimal Filtration Problem for One-Dimensional Diffusion Processes
Kagirova G.R.
Nasyrov F.S.
[J]. Siberian Advances in Mathematics, 2018, 28 (3) : 155 - 165
[4] A ONE-DIMENSIONAL WIND MODEL FOR DIFFUSION CALCULATIONS
ULRICH, WC
[J]. METEOROLOGY AND ATMOSPHERIC PHYSICS, 1993, 52 (1-2) : 69 - 89
[5] SPECTRAL DIFFUSION IN A ONE-DIMENSIONAL PERCOLATION MODEL
ALEXANDER, S
BERNASCONI, J
ORBACH, R
[J]. PHYSICAL REVIEW B, 1978, 17 (11): : 4311 - 4314
[6] ONE-DIMENSIONAL DIFFUSION IN SOLUBLE MODEL POTENTIALS
MORSCH, M
RISKEN, H
VOLLMER, HD
[J]. ZEITSCHRIFT FUR PHYSIK B-CONDENSED MATTER, 1978, 32 (02): : 245 - 252
[7] One-dimensional diffusion model in an inhomogeneous region
Fedotov, I.
Katskov, D.
Marais, J.
Shatalov, M.
[J]. THEORETICAL FOUNDATIONS OF CHEMICAL ENGINEERING, 2006, 40 (06) : 573 - 579
[8] One-dimensional diffusion model in an inhomogeneous region
I. Fedotov
D. Katskov
J. Marais
M. Shatalov
[J]. Theoretical Foundations of Chemical Engineering, 2006, 40 : 573 - 579
[9] DIFFUSION IN THE ONE-DIMENSIONAL ISING-MODEL
ACHIAM, Y
[J]. JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, 1980, 13 (05): : 1825 - 1833
[10] Charge diffusion in the one-dimensional Hubbard model
Steinigeweg, R.
Jin, F.
De Raedt, H.
Michielsen, K.
Gemmer, J.
[J]. PHYSICAL REVIEW E, 2017, 96 (02)

← 1 2 3 4 5 →