IEEE - Institute of Electrical and Electronics Engineers, Inc. - A general framework for pairs trading with a control-theoretic point of view

2016 IEEE Conference on Control Applications (CCA)

Author(s): Atul Deshpande ; B. Ross Barmish
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 September 2016
Conference Location: Buenos Aires, Argentina
Conference Date: 19 September 2016
Page(s): 761 - 766
ISBN (Electronic): 978-1-5090-0755-4
DOI: 10.1109/CCA.2016.7587910
Regular:

Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather... View More

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