A closed-form solution for optimal mean-reverting trading strategies
“They hold that position until one of three outcomes occur: (1) they achieve the targeted profit; (2) they experience a maximum tolerated loss; (3) the position is held beyond a maximum tolerated horizon.”
StrategyMarket making
TechniqueMathematical derivation
ClaimSharpe ratioprofit
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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