Advanced Pairs Trading: Stochastic Control with OU Processes

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Using an OU process to model the mispricing between stocks, we can determine the optimal portfolio holdings by employing a stochastic control approach.

In this presentation, we will cover the intricacies involved with using this approach, along with a discussion on a couple of models with the highest impact in this domain.

Go-to-market faster than ever with ArbitrageLab, a python library that provides institutional-grade pairs trading algorithms to traders.

Presentation slides: docs.google.com/presentation/d/1-b9i_ParcfmryHjT5L…