Super-replication of the best pairs trade in hindsight
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so as to...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2019-01-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2019.1568657 |