Pairs trading under transaction costs using model predictive control
Author:
Affiliation:
1. Department of Finance, Mihaylo College of Business and Economics, California State University, Fullerton, CA, 92831USA.
2. Faculty of Business Sciences, University of Tsukuba, Tokyo, 112-0012Japan.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1374549
Reference29 articles.
1. Dynamic option hedging via stochastic model predictive control based on scenario simulation
2. Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
3. Portfolio Selection with Transaction Costs
4. European Option Pricing with Transaction Costs
5. Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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