|
|||||
|
|
Pairs trading under transaction costs using model predictive control |
|
| Authors: | James A. Primbs Yuji Yamada |
| Affiliation: | 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: | |