Advanced Pairs Trading: Stochastic Control with OU Processes

Using an OU process to model the mispricing between stocks, we can determine the optimal portfolio holdings by employing a stochastic control approach.

In this presentation, we will cover the intricacies involved with using this approach, along with a discussion on a couple of models with the highest impact in this domain.

Go-to-market faster than ever with ArbitrageLab, a python library that provides institutional-grade pairs trading algorithms to traders.

[sz]

Excellent video...thanks....Its a shame that the arbitragelab library isnt free to install.

[yaroslavtemchuk]

Are you using closed form expressions from Mudchanatongsuk et al. to estimate the parameters?

[aminebenkraiem]

I don't understand how the controlled weight do not depend on the risk-free rate