A general framework for pairs trading with a control-theoretic point of view
A general framework for pairs trading with a control-theoretic point of view
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying stochastic stock-price processes and the so-called spread function. In contrast to existing literature, we consider an algorithm for pairs trading which …