Art

J-GLOBAL ID：201702268381199334   Reference number：17A1006965

OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS

実際の投資管理条件下で導関数不要最適化を用いる最適複数ペア取引戦略

Author (2)： Yamamoto Rei (Musashi University) ,  Hibiki Norio (Keio University)
Material： Journal of the Operations Research Society of Japan  (日本オペレーションズ・リサーチ学会論文誌)
Volume： 60  Issue： 3  Page： 244-261(J-STAGE)  Publication year： 2017 
JST Material Number： G0402A  ISSN： 0453-4514  Document type： Article
Article type： 原著論文  Country of issue： Japan (JPN)  Language： ENGLISH (EN)

Thesaurus term： finance(bank) ,  *fund management ,  time series analysis ,  threshold ,  simulation ,  algorithm ,  *constrained optimization problem ,  *derivative ,  transaction
Semi thesaurus term： finance ,  stock trading ,  Cointegration ,  large scale simulation ,  heuristic algorithm ,  decision threshold

Author keywords (5)： Finance ,  pairs trading strategy ,  multiple pairs ,  fund management conditions ,  derivative free optimization

JST classification (1)： Mathematical programmings  (KA03030M)

Reference (13)：

• [1] T. Adachi: Analysis of the profitability of pairs trading strategy. Proceeding of Society of Applied Economic Time Series Analysis (2006), 25-50 (in Japanese).
• [2] A.R. Conn, K. Scheinberg, and W.P. Malcom: Introduction to Derivative-Free Optimization (SIAM, Philadelphia, 2009).
• [3] R.J. Elliott, J.V.D. Hoek, and W.P. Malcom: Pairs trading. Quantitative Finance, 5 (2005), 271-276.
• [4] E.G. Gatev, W.N. Goetzmann, and K.G. Rouwenhorst: Pairs trading: Performance of a relative-value arbitrage rule. Review of Financial Studies, 19 (2006), 797-827.
• [5] M. Hakamada: Study of the profitability of the pairs trading strategy in the Japanese stock market. Proceeding of Nippon Finance Association (2002), 51-57 (in Japanese).

Terms in the title (5)： 投資 ,  導関数 ,  最適化 ,  取引 ,  戦略