报告题目：Optimal Stopping for Pairs Trading Strategies

报 告 人：卞泽平 曼彻斯特大学

邀请人：李童庆、薄立军

报告时间：2022年11月21日（周一）16：00-17：00

腾讯会议ID：970-553-358，密码：123456

报告人简介：卞泽平，2014年本科毕业于加拿大滑铁卢大学，2019年于英国曼彻斯特大学获得硕士学位，现于曼彻斯特大学攻读博士学位。主要研究领域为配对交易的最优停止问题和美式看跌期权的定价问题。

报告摘要：We consider a symmetric stochastic differential game where each player can control the diffusion intensity of an individual dynamic state process, and the players whose states at a deterministic finite time horizon are among the best of all states receive a fixed prize. Within the mean field limit version of the game we compute an explicit equilibrium, a threshold strategy that consists in choosing the maximal fluctuation intensity when the state is below a given threshold, and the minimal intensity otherwise. We show that for large n the symmetric n-tuple of the threshold strategy provides an approximate Nash equilibrium of the n-player game. We also derive the rate at which the approximate equilibrium reward and the best response reward converge to each other, as the number of players n tends to infinity. Finally, we compare the approximate equilibrium for large games with the equilibrium of the two-player case. This talk is based on the joint work with Stefan Ankirchner, Nabil Kazi-Tani and Julian Wendt.

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