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Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 - MaRDI portal

Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (Q5234323)

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scientific article; zbMATH DE number 7110447
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English
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
scientific article; zbMATH DE number 7110447

    Statements

    title
    Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (English)
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    publication date
    26 September 2019
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    zbMATH Keywords
    finance
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    optimal causal path
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    statistical arbitrage
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    lead-lag structure
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    high-frequency trading
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    cryptocurrency
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    describes a project that uses
    R
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    QuantQuote
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    stats
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    UCR Suite
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    SparseDTW
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    Identifiers

    zbMATH DE Number
    7110447
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    OpenAlex ID
    W2796220501
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