Model-based pairs trading in the bitcoin markets

被引：43

作者：

Lintilhac, P. S. ^{[1
]}

Tourin, A. ^{[2
]}

机构：

[1] NYU, Tandon Sch Engn, Metrotech Ctr 6, Dept Math, Brooklyn, NY 11201 USA

[2] NYU, Tandon Sch Engn, Metrotech Ctr 6, Dept Finance & Risk Engn, Brooklyn, NY 11201 USA

来源：

QUANTITATIVE FINANCE | 2017年 / 17卷 / 05期

关键词：

Stochastic control; Pairs trading; Merton problem; Cointegration; Statistical arbitrage; PORTFOLIO SELECTION; ARBITRAGE;

D O I：

10.1080/14697688.2016.1231928

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose an optimal dynamic pairs trading strategy model for a portfolio of cointegrated assets. Using stochastic control techniques, we compute analytically the optimal portfolio weights and relate our result to several other strategies commonly used by practitioners, including the static double-threshold strategy. Finally, we apply our model to a bitcoin portfolio and conduct an out-of-sample test with historical data from three exchanges, with two cointegrating relations.

引用

页码：703 / 716

页数：14

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