Model-based pairs trading in the bitcoin markets
提出一个针对协整资产组合的最优动态对子交易策略模型，用随机控制方法解析最优权重，并在比特币市场用三个交易所的历史数据做样本外测试。
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.