Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach

2021 ◽  
Author(s):  
Fenghui Yu ◽  
Wai-Ki Ching ◽  
Chufang WU ◽  
Jiawen Gu
Keyword(s):  
Trading Strategies ◽  
Pairs Trading ◽  
Mean Variance ◽  
Variance Approach

scholarly journals Optimal pairs trading with dynamic mean-variance objective

2021 ◽  
Vol 94 (1) ◽  
pp. 145-168
Author(s):  
Dong-Mei Zhu ◽  
Jia-Wen Gu ◽  
Feng-Hui Yu ◽  
Tak-Kuen Siu ◽  
Wai-Ki Ching
Keyword(s):  
Empirical Studies ◽  
Trading Strategies ◽  
Securities Market ◽  
Model Estimation ◽  
Pairs Trading ◽  
Framework Model ◽  
Convergence Trading ◽  
Using Data ◽  
Mean Variance ◽  
Trading Constraints

AbstractPairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell relatively over-priced assets to exploit temporary mispricing. This study examines optimal pairs trading strategies under symmetric and non-symmetric trading constraints. Under the assumption that the price spread of a pair of correlated securities follows a mean-reverting Ornstein-Uhlenbeck(OU) process, analytical trading strategies are obtained under a mean-variance(MV) framework. Model estimation and empirical studies on trading strategies have been conducted using data on pairs of stocks and futures traded on China’s securities market. These results indicate that pairs trading strategies have fairly good performance.

Robo-advising: a dynamic mean-variance approach

2021 ◽  
Author(s):  
Min Dai ◽  
Hanqing Jin ◽  
Steven Kou ◽  
Yuhong Xu
Keyword(s):  
Mean Variance ◽  
Variance Approach

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

2013 ◽  
Vol 20 (5) ◽  
pp. 415-449 ◽  
Author(s):  
S. T. Tse ◽  
P. A. Forsyth ◽  
J. S. Kennedy ◽  
H. Windcliff
Keyword(s):  
Quadratic Variation ◽  
Trading Strategies ◽  
Optimal Trading ◽  
The Mean ◽  
Mean Variance
Sign in / Sign up

Export Citation Format

Share Document