An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions

Portfolio Selection with Transaction Costs

Mark H. Davis, A. R. Norman · Mathematics of Operations Research · 1990 · 1.4K citations · Full text

Mathematical Programming, Log-normal Diffusion, Portfolio Choice +17

Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Evan Gatev, William N. Goetzmann, K. Geert Rouwenhorst · Review of Financial Studies · 2006 · 786 citations

Optimal Investment and Consumption with Transaction Costs

Steven E. Shreve, H. Meté Soner · The Annals of Applied Probability · 1994 · 659 citations · Full text

Proportional Transaction Costs, Economics, Computational Finance +14

Stock Trading: An Optimal Selling Rule

Q. Zhang · SIAM Journal on Control and Optimization · 2001 · 302 citations

Stock Trading, Economics, Computational Finance +15

Trend Following Trading under a Regime Switching Model

Min Dai, Q. Zhang, Qiji Jim Zhu · SIAM Journal on Financial Mathematics · 2010 · 126 citations · Full text

Market Microstructure, Economics, Financial Economics +14