Analytic solutions for optimal statistical arbitrage trading

William K. Bertram · 2010 · Physica A: Statistical Mechanics and its Applications

IntermediateIntradayLFTTheoryFree to read

Closed-form optimal entry and exit thresholds for trading an OU spread with transaction costs.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Stat arb
Assets: Equities
Market: Global

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Cite

@article{bertram2010analytic,
  author = {Bertram, William K.},
  title = {{Analytic solutions for optimal statistical arbitrage trading}},
  journal = {Physica A: Statistical Mechanics and its Applications},
  year = {2010},
  doi = {10.1016/j.physa.2010.01.045}
}

Bertram, W. K. (2010). Analytic solutions for optimal statistical arbitrage trading. Physica A: Statistical Mechanics and its Applications. https://doi.org/10.1016/j.physa.2010.01.045