一、题目：

Pairs Trading: An Optimal Selling Rule with Constraints

二、主讲人：

Ruyi Liu

三、摘要：

The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short position is held in another. The goal is to determine the optimal time to sell the long position and repurchase the short position in order to close the pairs position. The paper presents an optimal pairs-trading selling rule with trading constraints. In particular, the underlying stock prices evolve according to a two dimensional geometric Brownian motion and the trading permission process is given in terms of a two-state {trading allowed, trading not allowed} Markov chain. It is shown that the optimal policy can be determined by a threshold curve which is obtained by solving the associated HJB equations (quasi-variational inequalities). A closed form solution is obtained. A verification theorem is provided. Numerical experiments are also reported to demonstrate the optimal policies and value functions.

四、主讲人简介：

Dr. Ruyi Liu currently serves as a postdoctoral research associate at the School of Mathematics and Statistics at the University of Sydney. He holds a B.S. and Ph.D. in Mathematics from Shandong University, which he received in 2014 and 2020, respectively. He is working in the area of Financial Mathematics and Stochastic Analysis and his research interests include financial derivatives pricing under market and credit risk, backward stochastic differential equations, and stock trading strategies. Currently, he is devoted to exploring optimal stopping/control problems in financial and commodities markets, pricing financial derivatives under risks, and developing stock trading strategies.

五、邀请人：

聂天洋 教授；杜凯 副研究员

六、时间：

6月1日（周四）10:00-11:00

七、地点：

中心校区知新楼B座1248报告厅

八、主办：

山东大学数学学院