Pairs trading based on statistical variability of the spread process
From MaRDI portal
Publication:5397471
DOI10.1080/14697688.2012.748934zbMath1281.91119OpenAlexW1986231551MaRDI QIDQ5397471
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.748934
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Trade models (91B60)
Related Items (9)
A stochastic model for commodity pairs trading ⋮ Pairs trading with partial cointegration ⋮ Intraday pairs trading strategies on high frequency data: the case of oil companies ⋮ Deep learning with long short-term memory networks for financial market predictions ⋮ A hybrid convolutional neural network with long short-term memory for statistical arbitrage ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Revealing pairs-trading opportunities with long short-term memory networks ⋮ Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500 ⋮ Pairs trading with partial cointegration
Cites Work
- Unnamed Item
- Basic properties of strong mixing conditions. A survey and some open questions
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- On Strong Mixing Conditions for Stationary Gaussian Processes
- Martingales and first passage times of AR(1) sequences
- Recombining Binomial Tree Approximations for Diffusions
- Maximal inequalities for the Ornstein-Uhlenbeck process
- A Regime-Switching Relative Value Arbitrage Rule
- On Some Probabilistic-Statistical Methods in Technical Analysis
- PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
- Pairs trading
This page was built for publication: Pairs trading based on statistical variability of the spread process
