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Hybrid Deep Reinforcement Learning for Pairs Trading
Applied Sciences, 2022 Pairs trading is an investment strategy that exploits the short-term price difference (spread) between two co-moving stocks. Recently, pairs trading methods based on deep reinforcement learning have yielded promising results.
Sang-Ho Kim +2 more
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Pairs Trading with Opportunity Cost [PDF]
Journal of Applied Probability, 2014 Pairs trading is a trading strategy which is used very frequently in the financial industry. An investment opportunity arises when the spread between two assets, which historically have exhibited autoregressive behavior, deviates from its recent history. In this case, the investor takes a long position in the asset which is expected to outperform going
Carl Lindberg
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An Optimal Pairs-Trading Rule [PDF]
Automatica, 2013 This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a pair to short
Song, Qingshuo, Zhang, Qing
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Pairs trading: A copula approach [PDF]
Journal of Derivatives & Hedge Funds, 2013 Pairs trading is a technique that is widely practiced in the financial industry. Its relevance has been constantly tested with updated samples, and its profitability is acknowledged among practitioners and academics. Yet in pairs trading, the notion of correlation is central, and the use of correlation or cointegration as a measure of dependency is ...
Rong Qi Liew, Yuan Wu
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Deep learning-based pairs trading: real-time forecasting of co-integrated cryptocurrency pairs [PDF]
Frontiers in Applied Mathematics and StatisticsStatistical arbitrage strategies, including pairs trading, rely on identifying co-movements and static long-term equilibrium relationships between assets, where conventional methods fail to capture non-stationary dynamics, hence reducing trading ...
Johannes Tshepiso Tsoku +1 more
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Pairs trading: is it applicable to exchange-traded funds?
Borsa Istanbul Review, 2022 Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application.
Ekin Tokat, Ahmet Cevdet Hayrullahoğlu
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Optimal Parameters to Pairs Trading
SSRN Electronic Journal, 2012 Pairs trading is a very common trading strategy, and being able to obtain parameters that tell us when to trade and when to get out is of great importance. In this paper I propose a methodology that can improve the performance of traditional pairs trading strategy.
Kirill Temlyakov
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Pairs trading with partial cointegration [PDF]
Quantitative Finance, 2016 Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random walk and a mean-reverting component. We derive its representation in state space, provide a maximum likelihood based estimation routine,
Clegg, Matthew, Krauss, Christopher
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Aflatoxin regulations in a network of global maize trade. [PDF]
PLoS ONE, 2012 Worldwide, food supplies often contain unavoidable contaminants, many of which adversely affect health and hence are subject to regulations of maximum tolerable levels in food.
Felicia Wu, Hasan Guclu
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Application of Kalman Filter to Estimate Dynamic Hedge Ratio in Pairs Trading Strategy: A Case Study of the Automobile Industry [PDF]
تحقیقات مالی, 2023 Objective: Pairs trading strategies have been around since the mid-1980s and have gained widespread acceptance in recent years. A pairs trading strategy is one of the forms of statistical arbitrage done to make a profit. It bases on the return related to
Mohammad Javad Nourahmadi +1 more
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