Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market
“We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional transaction costs; we show how to introduce stop-loss and leverage in an optimal trading strategy.”
AssetMulti-assetfutures
StrategyPairs trading
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
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