ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS

被引：9

作者：

Cartea, Alvaro ^{[1
,2
]}

Jaimungal, Sebastian ^{[3
]}

机构：

[1] Univ Oxford, Dept Math, Oxford, England

[2] Oxford Man Inst Quantitat Finance, Oxford, England

[3] Univ Toronto, Dept Stat Sci, Toronto, ON, Canada

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2016年 / 19卷 / 06期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Pairs trading; algorithmic trading; high-frequency trading; co-integration; short-term alpha; stochastic control;

D O I：

10.1142/S0219024916500382

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The optimal solution is constructed explicitly in closed-form and is shown to be affine in the co-integration factor. We calibrate the model to three assets traded on the Nasdaq exchange (Google, Facebook, and Amazon) and employ simulations to showcase the strategy's performance.

引用

页数：18

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