Dynamic Pairs Trading Using the Stochastic Control Approach

By A. Tourin, Raphael Yan. 2013

92 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Alexander Deinert
2. Thomas G. Fischer
3. Christopher Krauss
4. A. Tourin
5. P. Lintilhac
6. Omer Berat Sezer
7. A. Ozbayoglu
8. Weiwei Jiang

In Finance

1. Alexander Deinert
2. Thomas G. Fischer
3. Christopher Krauss
4. A. Tourin
5. P. Lintilhac
6. A. Ozbayoglu
7. Omer Berat Sezer
8. Weiwei Jiang

Citations in the corpus

• Statistical Arbitrage in Cryptocurrency Markets (2019, background): “Lintilhac and Tourin (2017) develop a pairs trading strategy for Bitcoin, following ideas of Tourin and Yan (2013), and other representatives of the stochastic control approach—for an overview see Krauss (2017).”
• Model-based pairs trading in the bitcoin markets (2017, background): “In contrast to Tourin and Yan (2013), we include a linear trend in the cointegrating relations and make the dynamics fully symmetric.”
• Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Tourin and Yan (2013) and Chiu and Wong (2015) also develop optimal strategies for cointegrated risky assets.”
• Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “These ETF pairs are also used in Triantafyllopoulos and Montana (2011) and Dunis et al.”