An Entropic Approach for Pair Trading
AbstractIn this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair. However, if the assumed model contains uncertainty, the resulting boundary could result in large losses. To avoid this, we develop a more robust strategy by accounting for the model uncertainty. To incorporate the model uncertainty, we use the relative entropy as a penalty function in the expected profit from pair trading. View Full-Text
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Yoshikawa, D. An Entropic Approach for Pair Trading. Entropy 2017, 19, 320.
Yoshikawa D. An Entropic Approach for Pair Trading. Entropy. 2017; 19(7):320.Chicago/Turabian Style
Yoshikawa, Daisuke. 2017. "An Entropic Approach for Pair Trading." Entropy 19, no. 7: 320.
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