Optimal Pairs Trading using Stochastic Control Approach
Title: Optimal Pairs Trading using Stochastic Control Techniques - A Critical Evaluation Authors: HO, Wang Ching & GALEEV, Roman Supervisors: Johannesson, Erik – Department of Automatic Control, Lund University Larsson, Karl – Department of Economics, Lund University Problem: As of date, quantitative trading methods are a strong growing niche of trading. More and more sophisticated models are