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.
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页码：104 / 122
页数：19
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