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

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页码：104 / 122

页数：19

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