The DOI matches its Crossref record; 15 of the 15 references it cites were found in a registry or an index.
Model-based pairs trading in the bitcoin markets
Abstract
We propose an optimal dynamic pairs trading strategy model for a portfolio of cointegrated assets. Using stochastic control techniques, we compute analytically the optimal portfolio weights and relate our result to several other strategies commonly used by practitioners, including the static double-threshold strategy. Finally, we apply our model to a bitcoin portfolio and conduct an out-of-sample test with historical data from three exchanges, with two cointegrating relations.
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In the citing paper
“Lintilhac and Tourin (2017) report that the transaction costs for Bitcoin is around 50 basis points and therefore also in Table 6 we report the percentage of technical trading rules that offer breakeven transaction costs greater than 50 basis points.”
From Technical trading and cryptocurrencies (2021) · cites this paper as Lintilhac and Tourin (2017)
In the citing paper
“Lintilhac and Tourin (2017) shows that the transaction fee per number of Bitcoins is $0.0025 while the bid-ask spread is 0.005 as a fraction of the price is USD.”
From Technical trading and cryptocurrencies (2021) · cites this paper as Lintilhac and Tourin (2017)
In the citing paper
“We find that the breakeven transaction costs are substantially higher than those typically found in cryptocurrency markets.”
From Technical trading and cryptocurrencies (2021) · cites this paper as Lintilhac and Tourin (2017)
In the citing paper
“Lintilhac and Tourin (2017) show that transaction costs on Bitcoin is around 50 basis points.”
From Technical trading and cryptocurrencies (2021) · cites this paper as Lintilhac and Tourin (2017)
Citations
Cites
Optimum consumption and portfolio rules in a continuous-time model
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Pham, H. (2009) · Applications of mathematics · doi:10.1007/978-3-540-89500-8 · Cited by 1,090
Controlled markov processes and viscosity solutions
James, M. R. (1994) · Stochastics and stochastics reports · doi:10.1080/17442509408833914 · Cited by 1,050
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Aı̈t-Sahalia, Y., Mykland, P. A., & Zhang, L. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi016 · Cited by 933
Statistical arbitrage in the US equities market
Avellaneda, M., & Lee, J.-H. (2010) · Quantitative Finance · doi:10.1080/14697680903124632 · Cited by 350
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
Leung, T., & Li, X. Y. (2015) · International Journal of Theoretical and Applied Finance · doi:10.1142/s021902491550020x · Cited by 122
Optimal pairs trading: A stochastic control approach
Mudchanatongsuk, S., Primbs, J. A., & Wong, W. (2008) · Proceedings of the ... American Control Conference/Proceedings of the American Control Conference · doi:10.1109/acc.2008.4586628 · Cited by 111
Mean–variance portfolio selection of cointegrated assets
Chiu, M. C., & Wong, H. Y. (2011) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2011.04.003 · Cited by 95
Dynamic pairs trading using the stochastic control approach
Tourin, A., & Yan, R. (2013) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2013.05.010 · Cited by 87
Self-citationOption valuation with co-integrated asset prices
Duan, J., & Pliska, S. R. (2003) · Journal of Economic Dynamics and Control · doi:10.1016/s0165-1889(03)00042-3 · Cited by 82
Research works printed but not linked: 1
- Cartea A., Int. J. Theor. Appl. Financ
Cited by
Sorted by citations
Technical trading and cryptocurrencies
Hudson, R., & Urquhart, A. (2021) · Annals of Operations Research · doi:10.1007/s10479-019-03357-1 · Cited by 90
Metadata
- Authors
- Lintilhac, P. S., & Tourin, A.
- Affiliations
- New York University (US)
- Corresponding author
- Tourin, A.
- ORCID
- Tourin, A.
- Venue
- Quantitative Finance
- Publisher
- Informa UK Limited
- Published
- 2016-11-04
- Volume
- 17
- Issue
- 5
- Pages
- 703-716
- ISSN
- 1469-7688 (ISSN-L)
- 1469-7696
- OpenAlex
- W2547953409
- Cited by
- 65
- References
- 15
- Citations by year
- 2026: 1 · 2025: 6 · 2024: 1 · 2023: 4 · 2022: 15 · 2021: 8 · 2020: 8 · 2019: 14 · 2018: 6 · 2017: 1
- FWCI
- 11.69
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Quantitative Finance (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Risk and Portfolio Optimization
- Keywords
- pairs trading, cointegration, Bitcoin, stochastic control, optimal portfolio weights, dynamic trading strategies, out-of-sample performance, cryptocurrency market
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