英文标题：
《Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit》
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作者：
Tim Leung and Xin Li
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最新提交年份：
2015
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英文摘要：
Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formulated to analyze the timing to start and subsequently liquidate the position subject to transaction costs. Modeling the price spread by an Ornstein-Uhlenbeck process, we apply a probabilistic methodology and rigorously derive the optimal price intervals for market entry and exit. As an extension, we incorporate a stop-loss constraint to limit the maximum loss. We show that the entry region is characterized by a bounded price interval that lies strictly above the stop-loss level. As for the exit timing, a higher stop-loss level always implies a lower optimal take-profit level. Both analytical and numerical results are provided to illustrate the dependence of timing strategies on model parameters such as transaction cost and stop-loss level.
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中文摘要：
基于配对交易的行业实践，我们研究了均值回复价差交易的最佳时机策略。提出了一个最优双停止问题，分析了在交易成本的影响下，仓位开始和随后平仓的时机。通过Ornstein-Uhlenbeck过程对价差进行建模，我们采用概率方法，严格推导出市场进入和退出的最佳价格区间。作为扩展，我们加入了止损约束来限制最大损失。我们证明了进入区域的特征是严格高于止损水平的有界价格区间。至于退出时机，较高的止损水平总是意味着较低的最佳获利水平。分析和数值结果都说明了定时策略对交易成本和止损水平等模型参数的依赖性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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