Statistical arbitrage with vine copulas

DOI10.1080/14697688.2018.1438642zbMath1407.62178OpenAlexW2568147658WikidataQ129921769 ScholiaQ129921769MaRDI QIDQ4619524

Benedikt Mangold, Christopher Krauss, Johannes Stübinger

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/147450

zbMATH Keywords

copulasfinancepairs tradingstatistical arbitragedependence structuresquantitative strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

Pairs trading with wavelet transform ⋮ Statistical arbitrage: factor investing approach ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Revealing pairs-trading opportunities with long short-term memory networks ⋮ Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500 ⋮ Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Uses Software

• lmtest
• sandwich
• tseries
• copula
• VineCopula
• CDVine
• Rcpp
• RMetrics
• PerformanceAnalytics
• quantmod
• TTR
• xts
• zoo
• QRM
• dplyr
• copula
• vines
• timeSeries
• ReporteRs
• Word
• fCopulae
• fUnitRoots
• xlsx
• permute
• condMVNorm
• PowerPoint

Cites Work

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