Optimal Pairs Trading Rules

报告摘要：We build a stochastic control model to describe pairs trading and study optimal pairs trading rules. Two risky assets are cointegrated so that the difference between the two prices is governed by a mean-revering process. Pairs tradings (buy one and sell another simultaneously, or vice versa) are triggered by levels of the difference, for a purpose of maximizing an overall return. We solve the associated optimal stopping problem explicitly by dynamic programming techniques. Our solution discloses that the optimal pairs trading occurs when the difference reaches certain thresholds. Numerical examples based on simulated and empirical data are provided.

报告人简介：曾旭东，美国南加州大学应用数学博士，上海财经大学金融学院教授，金融科技研究中心主任。研究方向包括金融科技，投资组合，金融资产定价，风险管理等。已在Journal of Economic Theory, Management Science，SIAM Journal on Control and Optimization,管理科学学报等金融学、管理学和数学金融研究领域领先学术期刊上发表论文多篇。已主持两项国家自然科学基金项目，一项教育部人文社科重点研究基地重大项目。担任全国保险专业学位研究生教育指导委员会委员，中国优选法和统筹法研究会量化金融分会理事等教育和学术团体职务。