Pairs trading

被引：237

作者：

Elliott, RJ

Van der Hoek, J ^{[1
]}

Malcolm, WP

机构：

[1] Univ Adelaide, Dept Appl Math, Adelaide, SA 5005, Australia

[2] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada

[3] Australian Natl Univ, Natl ICT Australia, Canberra, ACT 0200, Australia

来源：

QUANTITATIVE FINANCE | 2005年 / 5卷 / 03期

关键词：

pairs trading; hedge funds; spreads;

D O I：

10.1080/14697680500149370

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

'Pairs Trading' is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical framework for such an investment strategy. We propose a mean-reverting Gaussian Markov chain model for the spread which is observed ill Gaussian noise. Predictions from the calibrated model are then compared with subsequent observations of the spread to determine appropriate investment decisions. The methodology has potential applications to generating wealth from any quantities in financial markets which are observed to be out of equilibrium.

引用

页码：271 / 276

页数：6

共 13 条

[1]

Elliott R., 1995, Hidden Markov Models-Estimation and Control, V29

[2] Exact finite-dimensional filters for maximum likelihood parameter estimation of continuous-time linear Gaussian systems [J].