Algorithmic trading of co-integrated assets

We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The optimal...

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Bibliographic Details
Main Authors: Cartea, A, Jaimungal, S
Format: Journal article
Published: World Scientific Publishing 2016