Trading a mean-reverting asset: Buy low and sell high

doi:10.1016/j.automatica.2007.11.003

CSpace > 应用数学研究所

	Trading a mean-reverting asset: Buy low and sell high
	Zhang, Hanqin2,3 ; Zhang, Qing 1
	2008-06-01
发表期刊	AUTOMATICA
ISSN	0005-1098
卷号	44 期号:6 页码:1511-1518
摘要	This paper is concerned with an optimal trading (buy and sell) rule. The underlying asset price is governed by a mean-reverting model. The objective is to buy and sell the asset so as to maximize the overall return. Slippage cost is imposed on each transaction. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the original optimal stopping problem can be obtained by solving two quasi-algebraic equations. Sufficient conditions are given in the form of a verification theorem. A numerical example is reported to demonstrate the results. (c) 2008 Elsevier Ltd. All rights reserved.
关键词	optimal stopping quasi-variational inequalities mean-reverting process
DOI	10.1016/j.automatica.2007.11.003
语种	英语
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000257003700007
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/5581
专题	应用数学研究所
通讯作者	Zhang, Qing
作者单位	1.Univ Georgia, Dept Math, Athens, GA 30602 USA 2.Acad Sinica, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Res Operat Div, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Hanqin,Zhang, Qing. Trading a mean-reverting asset: Buy low and sell high[J]. AUTOMATICA,2008,44(6):1511-1518.
APA	Zhang, Hanqin,&Zhang, Qing.(2008).Trading a mean-reverting asset: Buy low and sell high.AUTOMATICA,44(6),1511-1518.
MLA	Zhang, Hanqin,et al."Trading a mean-reverting asset: Buy low and sell high".AUTOMATICA 44.6(2008):1511-1518.