报告时间：2021年3月30日10:40
报告地点：龙洞行政楼610会议室
报告人：吴臻，山东大学数学学院教授
报告题目：Pairs-Trading under Geometric Brownian Motions: An Optimal Strategy with Cutting Losses
摘要：In this talk, we introduce pairs trading under a geometric Brownian motion. Pairs trading is about simultaneously trading a pair of stocks. A pairs trade is triggered when their prices diverge and consists of a short position of the strong stock and a long position of the weak one. Pairs trading bets on the reversal of their price strengths. Here, we study the optimal pairs-trading problem under general GBMs  with cutting losses, the objective is to trade the pairs over time to maximize an overall return with a fixed transaction cost. Trading with cutting losses is important in practice to limit risk exposure due to unexpected events. In control theory, this is associated with a hard state constraint which is difficult to deal with. In the talk, the optimal policy is characterized by threshold curves obtained by solving the associated HJB equations. We provide sufficient conditions that guarantee the optimality of our trading rules. A numerical example is also provided to illustrate how to implement the results in practice. (this talk based on the joint paper in Automatica 115,2020 with Dr.Ruyi Liu and Prof.Qing Zhang)
报告人简介：
      吴臻，山东大学数学学院教授，现任山东大学副校长、泰山学堂常务副院长。研究领域涉及控制论、概率论和金融数学等，取得了一系列具有突破性和原创性的科研成果。2019年获中国数学会第十七届陈省身数学奖，2018年获山东省自然科学奖一等奖。现主持国家基金委重点项目、山东省重大基础研究项目等。

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