Optimal multiple pairs trading strategy using derivative free optimization under actual investment management conditions

研究成果: Article査読

抄録

Pairs trading strategy has a history of at least 30 years in the stock market and is one of the most common trading strategies used today due to its understandability. Recently, Yamamoto and Hibiki [13] studied optimal pairs trading strategy using a new approach under actual fund management conditions, such as transaction costs, discrete rebalance intervals, finite investment horizons and so on. However, this approach cannot solve the problem of multiple pairs because this problem is formulated as a large scale simulation based non-continuous optimization problem. In this research, we formulate a model to solve an optimal pairs trading strategy problem using multiple pairs under actual fund management conditions. Furthermore, we propose a heuristic algorithm based on a derivative free optimization (DFO) method for solving this problem efficiently.

本文言語English
ページ(範囲)244-261
ページ数18
ジャーナルJournal of the Operations Research Society of Japan
60
3
DOI
出版ステータスPublished - 2017 7月

ASJC Scopus subject areas

  • 決定科学(全般)
  • 経営科学およびオペレーションズ リサーチ

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