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  1. 1. Optimal Pairs Trading Using Stochastic Control Approach---A Critical Evaluation

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Institutionen för reglerteknik

    Författare :Roman Galeev; Wang Ching Ho; [2010]
    Nyckelord :Pairs Trading; Market Neutral Strategy; Stochastic Control; Cointegration; Hedge Fund Investment Strategies; Stationarity; Technology and Engineering;

    Sammanfattning : As of date, quantitative trading methods are a strong growing niche of trading. More and more sophisticated models are employed to chase investment opportunities. The question is whether this is over-engineering and if it adds value to practitioners. LÄS MER