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Pairs trading under transaction costs using model predictive control

Author

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  • James A. Primbs
  • Yuji Yamada

Abstract

Model predictive control with proportional transactions costs provides a good approximation to the optimal trading strategy

Suggested Citation

  • James A. Primbs & Yuji Yamada, 2018. "Pairs trading under transaction costs using model predictive control," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 885-895, June.
  • Handle: RePEc:taf:quantf:v:18:y:2018:i:6:p:885-895
    DOI: 10.1080/14697688.2017.1374549
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    Cited by:

    1. Chung-Han Hsieh & Xin-Yu Wang, 2023. "Robust Trading in a Generalized Lattice Market," Papers 2310.11023, arXiv.org.
    2. Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization," Papers 2402.08108, arXiv.org.
    3. Zequn Li & Agnès Tourin, 2022. "A Finite Difference Scheme for Pairs Trading with Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 601-632, August.

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