A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
- Submitting institution
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The University of Essex
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- 1123
- Type
- D - Journal article
- DOI
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10.1002/mma.3383
- Title of journal
- Mathematical Methods in the Applied Sciences
- Article number
- -
- First page
- 4448
- Volume
- 38
- Issue
- 17
- ISSN
- 0170-4214
- Open access status
- Out of scope for open access requirements
- Month of publication
- December
- Year of publication
- 2014
- URL
-
-
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
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3
- Research group(s)
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A - Artificial Intelligence (AI)
- Citation count
- 0
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- In this highly mathematical paper we approach the well-known problem of dealing with trading in optimal pairs using stochastic control. The analysis was based upon a succession of Ansatze. Through an application of the Lie Theory of Continuous Groups to this equation, we show that the Ansatze is based upon the underlying symmetries of the equation. Significantly we solve the problem in a more general and robust context by allowing the parameters to be explicitly time-dependent. This work means that more realistic problems are amenable to the same mode of solution i.e. it is significant because it is generalizable.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -