Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of …. To find optimal strategies that determine optimally both trade times and number of shares in a pairs trading process, we … use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs …

Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of …. To find optimal strategies that determine optimally both trade times and number of shares in a pairs trading process, we … use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs …

Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy … owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading … a portfolio of 45 pairs is considered for the period of January 2007 to January 2021, which covers the period of a full …

determined according to a "matched pairs" design. By a "matched pairs" design, we mean that units are sampled i.i.d. from the … inference about the average treatment effect are not available. The main requirement underlying our analysis is that pairs are … formed so that units within pairs are suitably "close" in terms of the baseline covariates, and we develop novel results to …