英文标题：
《Optimal switching for pairs trading rule: a viscosity solutions approach》
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作者：
Minh Man Ngo and Huyen Pham
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最新提交年份：
2014
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英文摘要：
This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process with stochastic volatility, and the optimal pair trading rule is formulated as an optimal switching problem between three regimes: flat position (no holding stocks), long one short the other and short one long the other. A fixed commission cost is charged with each transaction. We use a viscosity solutions approach to prove the existence and the explicit characterization of cut-off points via the resolution of quasi-algebraic equations. We illustrate our results by numerical simulations.
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中文摘要：
本文研究了配对交易规则的最优截止点的确定问题。我们考虑了两个相关资产，其利差由随机波动率的均值回复过程建模，最优配对交易规则被描述为三种状态之间的最优切换问题：平仓（无持有股票）、多空和多空。每笔交易都收取固定的佣金。我们使用粘性解的方法，通过对拟代数方程的解析，证明了截止点的存在性和显式特征。我们通过数值模拟来说明我们的结果。
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分类信息：

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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