Trading a mean-reverting asset: Buy low and sell high

被引：59

作者：

Zhang, Hanqin ^{[2
,3
]}

Zhang, Qing ^{[1
]}

机构：

[1] Univ Georgia, Dept Math, Athens, GA 30602 USA

[2] Acad Sinica, Acad Math & Syst Sci, Beijing 100080, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Res Operat Div, Beijing, Peoples R China

来源：

AUTOMATICA | 2008年 / 44卷 / 06期

关键词：

optimal stopping; quasi-variational inequalities; mean-reverting process;

D O I：

10.1016/j.automatica.2007.11.003

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned with an optimal trading (buy and sell) rule. The underlying asset price is governed by a mean-reverting model. The objective is to buy and sell the asset so as to maximize the overall return. Slippage cost is imposed on each transaction. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the original optimal stopping problem can be obtained by solving two quasi-algebraic equations. Sufficient conditions are given in the form of a verification theorem. A numerical example is reported to demonstrate the results. (c) 2008 Elsevier Ltd. All rights reserved.

引用

页码：1511 / 1518

页数：8