Analytic solutions for optimal statistical arbitrage trading

William K. Bertram
In this paper we derive analytic formulae for statistical arbitrage trading where the security price follows an Ornstein-Uhlenbeck process. By framing the problem in terms of the ¯rst-passage time of the process, we derive expressions for the mean and variance of the trade length and the return.We examine the problem of choosing an optimal strategy under two di®erent objective functions: the expected return; and the Sharpe ratio. An exact analytic solution is obtained for the case of maximising the expected return.

Очень интересная статья в которой приведена модель оптимизации стат. арбитража - как параметры используются уровни открытия/закрытия, косты и риск-нейтральная ставка.