Jingzhi Tie, Hanqin Zhang, Qing Zhang. An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions. J. Optimization Theory and Applications, 179(2):654-675, 2018. [doi]
@article{TieZZ18,
title = {An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions},
author = {Jingzhi Tie and Hanqin Zhang and Qing Zhang},
year = {2018},
doi = {10.1007/s10957-017-1065-8},
url = {https://doi.org/10.1007/s10957-017-1065-8},
researchr = {https://researchr.org/publication/TieZZ18},
cites = {0},
citedby = {0},
journal = {J. Optimization Theory and Applications},
volume = {179},
number = {2},
pages = {654-675},
}