This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

This thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a...