Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
“We utilize the local time-space calculus of Peskir (2005a) and derive the nonlinear integral equations of Volterra-type that uniquely char- acterize the boundaries associated with the optimal timing decisions in all three problems.”
StrategyPairs trading
TechniqueMathematical derivation
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
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