An Entropic Approach for Pair Trading
作者： Daisuke Yoshikawa , None
DOI: 10.3390/E19070320
关键词: Mathematics 、 Econometrics 、 Model risk 、 Penalty method 、 Actuarial science 、 Kullback–Leibler divergence 、 Expected profit 、 Optimal stopping 、 Stock (geology) 、 Pairs trade
摘要: In this paper, we derive the optimal boundary for pair trading. This defines points of entry into or exit from market a given stock pair. However, if assumed model contains uncertainty, resulting could result in large losses. To avoid this, develop more robust strategy by accounting uncertainty. incorporate use relative entropy as penalty function expected profit
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