On Upper Gain Bound for Trading Strategy Based on Cointegration

• Autorzy: Rafał Łochowski
• Języki publikacji: EN

Abstrakty

EN

A long-run trading strategy based on cointegration relationship between prices of two commodities is considered. A linear combination of the prices is assumed to be a stationary AR(1) process. In some range of parameters, AR(1) process is obtained by discrete sampling of Ornstein-Uhlenbeck process. This allows to calculate approximate number of transactions in long run trade horizon and obtain approximate upper bound for possible gain. (original abstract)

Słowa kluczowe

EN

Cointegration; Trade

PL

Kointegracja; Handel

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2010
• Tom: 11(XI)
• Numer: nr 1
• Strony: 110--117

Twórcy

autor

Rafał Łochowski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Alili L., Patie P., Pedersen J.L. (2005). Representation of the first hitting time density of an Ornstein-Uhlenbeck process. Stoch. Models 21 967--980.
• Brockwell P.J., Marquardt T. (2005). Lévy driven and fractionally integrated ARMA processes with continuous time parameter Statistica Sinica 15 474--494.
• Engle R.F., Granger C.W.J. (1987). Cointegration and Error-Correction: Representation, Estimation and Testing. Econometrica 55 251--276.
• Łochowski R. (2007) Stopping time for Ornstein-Uhlenbeck process vs. stopping time for discrete AR(1) process, reprint available from web page http://akson.sgh.waw.pl/~rlocho/stoppingtime2.pdf
• Rolski T., Schmidli H., Schmidt V., Teugels J. (1998) Stochastic Processes for Insurance and Finance. Wiley, Chichester New York Weinheim Brisbane Singapore Toronto.
• Ricciardi L.M., Sato S. (1988). First-passage time density and moments of the Ornstein-Uhlenbeck process. J. Appl. Probab. 25 43--57.
• Thomas M.U. (1975). Some mean first-passage time approximations for the Ornstein-Uhlenbeck process. J. Appl. Probab. 12 600-604.