Nanfeng Li:Optimal Pairs Trading with Time-Varying Volatility


人:Nanfeng Li (New York University)



报告题目:Optimal Pairs Trading with Time-Varying Volatility

内容提要:We Propose a pairs trading model that incorporates a time-varying volatility of the constant elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two co integrated assets, we define the trading strategies as the portfolio weights maximizing the expected power utility from terminal wealth. We compute the optimal pairs strategies by using a Radial Basis Function method. Finally, we illustrate our results by conducting tests on historical market data at daily frequency. The parameters are estimated by the Generalized Method of Moments.   

报告人简介:Nanfeng Li is a Ph.D student at the New York University. His research interests include stochastic optimal control optimization, Machine learning. He obtained a from New York University where he studied financial engineering and a B.Sc. in computer science.