{"title":"一维扩散模型中配对交易的最优阈值","authors":"M. Fukasawa, Hitomi Maeda, J. Sekine","doi":"10.1017/S1446181121000298","DOIUrl":null,"url":null,"abstract":"Abstract We study the static maximization of long-term averaged profit, when optimal preset thresholds are determined to describe a pairs trading strategy in a general one-dimensional ergodic diffusion model of a stochastic spread process. An explicit formula for the expected value of a certain first passage time is given, which is used to derive a simple equation for determining the optimal thresholds. Asymptotic arbitrage in the long run of the threshold strategy is observed.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"3 1","pages":"104 - 122"},"PeriodicalIF":0.9000,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL\",\"authors\":\"M. Fukasawa, Hitomi Maeda, J. Sekine\",\"doi\":\"10.1017/S1446181121000298\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract We study the static maximization of long-term averaged profit, when optimal preset thresholds are determined to describe a pairs trading strategy in a general one-dimensional ergodic diffusion model of a stochastic spread process. An explicit formula for the expected value of a certain first passage time is given, which is used to derive a simple equation for determining the optimal thresholds. Asymptotic arbitrage in the long run of the threshold strategy is observed.\",\"PeriodicalId\":74944,\"journal\":{\"name\":\"The ANZIAM journal\",\"volume\":\"3 1\",\"pages\":\"104 - 122\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2021-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The ANZIAM journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1017/S1446181121000298\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The ANZIAM journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1017/S1446181121000298","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL
Abstract We study the static maximization of long-term averaged profit, when optimal preset thresholds are determined to describe a pairs trading strategy in a general one-dimensional ergodic diffusion model of a stochastic spread process. An explicit formula for the expected value of a certain first passage time is given, which is used to derive a simple equation for determining the optimal thresholds. Asymptotic arbitrage in the long run of the threshold strategy is observed.
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