2 papers
math.OC2023
Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions
Emily Crawford Das, Jingzhi Tie, Qing Zhang
This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks. The idea of pairs trading is to monitor their price movements and compare their relati…
q-fin.MF2023
Pairs Trading: An Optimal Selling Rule with Constraints
Ruyi Liu, Jingzhi Tie, Zhen Wu +1
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short posi…