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Quantitative Finance Volume 18, 2018 - Issue 6
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Pairs trading under transaction costs using model predictive control

James A. PrimbsDepartment of Finance, Mihaylo College of Business and Economics, California State University, Fullerton, CA, 92831USA.Correspondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-1970-8282
ORCID Icon &
Yuji YamadaFaculty of Business Sciences, University of Tsukuba, Tokyo, 112-0012Japan.
Pages 885-895 | Received 07 Apr 2017, Accepted 25 Aug 2017, Published online: 05 Dec 2017

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Vladimir Dombrovskii & Tatiana Pashinskaya. (2020) Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance. International Journal of Systems Science 51:16, pages 3269-3284.
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Ghazi Al-Naymat, Mouhammd Al-Kasassbeh & Zyad Sober. (2020) Pairs trading strategy: a recommendation system. International Journal of Computers and Applications 42:8, pages 787-797.
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