Optimal pairs trading: A stochastic control approach

被引：52

作者：

Mudchanatongsuk, Supakorn ^{[1
]}

Primbs, James A. ^{[1
]}

Wong, Wilfred ^{[1
]}

机构：

[1] Stanford Univ, Dept Management Sci & Engn, Stanford, CA 94022 USA

来源：

2008 AMERICAN CONTROL CONFERENCE, VOLS 1-12 | 2008年

关键词：

D O I：

10.1109/ACC.2008.4586628

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we propose a stochastic control approach to the problem of pairs trading. We model the log-relationship between a pair of stock prices as an Ornstein-Uhlenbeck process and use this to formulate a portfolio optimization based stochastic control problem. We are able to obtain the optimal solution to this control problem in closed form via the corresponding Hamilton-Jacobi-Bellman equation. We also provide closed form maximum-likelihood estimation values for the parameters in the model. The approach is illustrated with a numerical example involving simulated data for a pair of stocks.

引用

页码：1035 / 1039

页数：5

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