A Dynamic Model For Pairs Trading Strategies
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.”
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.