第10期:Dynamic Mean-variance Pairs Trading

发布者:系统管理员发布时间:2020-05-11浏览次数:94

题目: Dynamic Mean-variance Pairs Trading
主讲人:邵辉
时间:2020-05-14 2020年5月14日(周四)14:00-15:00
地点:综合楼526(国际商学院)
摘要:

We study the optimal pairs trading strategy under the dynamic mean-variance framework. The OU process, a popular kind of mean-reverting process, is applied to describe the price spread of a pair of related securities, and the optimal pairs trading problem then can be formulated as a dynamic mean-variance optimization problem. Closed-form solutions for the optimal strategy are derived and numerical illustrations are also provided.


主讲人简介:

Dr. Hui Shao obtained his Ph.D in applied mathematics from Peking University in 2017. From 2015 to 2017, he was research assistant in Center for Quantitative Finance of National University of Singapore; From 2017 to 2019, he was a research fellow in Risk Management Institute of National University of Singapore. Dr. Hui Shao's research interests include quantitative finance and applied probability.