Events

A Dynamic Model For Pairs Trading Strategies

Finance and Risk Engineering
Lecture / Panel
 
For NYU Community

We cordially invite you to attend the Morton Topfer Chair Lecture on Tuesday, May 5th at 4:30 PM in LC 400.

Industry Associate Professor Agnes Tourin will present a talk on the topic of:  “A Dynamic Model For Pairs Trading Strategies.”

Abstract:

The profitability of pairs trading strategies has been extensively studied in the empirical literature. However, there are still relatively
few attempts to model dynamic pairs trading strategies. In this talk, I will present a family of models based on the theory of stochastic control
that lead to analytical formulae for the optimal trading strategies and I will conduct some numerical experiments.

Refreshments will be served at the FRE Social beginning at 4:00PM. See attached poster for specific details. Mark your calendars.