@inproceedings{jingzhi2017an,
title={An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions},
author={Jingzhi Tie, Hanqin Zhang, and Qing Zhang},
url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170202112338201825152},
booktitle={Journal of Optimization Theory and Applications},
year={2017},
}
Jingzhi Tie, Hanqin Zhang, and Qing Zhang. An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions. 2017. In Journal of Optimization Theory and Applications. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170202112338201825152.