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Pairs trading under transaction costs using model predictive control |
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| Authors: | James A Primbs Yuji Yamada |
| Institution: | 1. Department of Finance, Mihaylo College of Business and Economics, California State University, Fullerton, CA, 92831USA.;2. Faculty of Business Sciences, University of Tsukuba, Tokyo, 112-0012Japan. |
| Abstract: | Model predictive control with proportional transactions costs provides a good approximation to the optimal trading strategy |
| Keywords: | |