Results 91 to 100 of about 3,181,879 (366)

Fairness Preferences in a Bilateral Trade Experiment

Games, 2020
Is the willingness to make trades influenced by how the total gains from trade are split between the trading partners? We present results from a bilateral trade game (n = 128) where all participants were price-takers and trading pairs faced one of three ...
Alice Ciccone, Ole Rogeberg, Ragnhild Braaten   +2 more
doaj   +1 more source

Pairs trading in the UK equity market: risk and return [PDF]

, 2014
In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance.
Bowen, David A., Hutchinson, Mark C.
core   +1 more source

Machine Learning and Algorithmic Pairs Trading in Futures Markets

Sustainability, 2020
This study applies machine learning methods to develop a sustainable pairs trading market-neutral investment strategy across multiple futures markets. Cointegrated pairs with similar price trends are identified, and a hedge ratio is determined using an ...
Seungho Baek, Mina Glambosky, Seok Hee Oh, J. Lee   +3 more
semanticscholar   +1 more source

Hopfield Neural Networks for Online Constrained Parameter Estimation With Time‐Varying Dynamics and Disturbances

International Journal of Adaptive Control and Signal Processing, EarlyView.
This paper proposes two projector‐based Hopfield neural network (HNN) estimators for online, constrained parameter estimation under time‐varying data, additive disturbances, and slowly drifting physical parameters. The first is a constraint‐aware HNN that enforces linear equalities and inequalities (via slack neurons) and continuously tracks the ...
Miguel Pedro Silva
wiley   +1 more source

Geometric Optimization and Mechanical Performance Enhancement of Auxetic Structures for High‐Impact Applications Through Fused Deposition Modeling

Advanced Engineering Materials, EarlyView.
This study explores the mechanical performance of three auxetic structures, identifying a re‐entrant‐star hybrid as the most effective for impact absorption. Finite element simulations and experiments demonstrate significant gains in energy absorption and flexural strength after geometric optimization. This study investigates the mechanical performance
Malik Hassan, Manjusri Misra, Alexander Bardelcik, Stefano Gregori, Amar K. Mohanty   +4 more
wiley   +1 more source

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Econometrics, 2016
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one.
David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide, Herman K. van Dijk   +3 more
doaj   +1 more source

Pairs Trading: Performance of a Relative Value Arbitrage Rule [PDF]

We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space.
Evan G. Galev, K. Geert Rouwenhorst, William N. Goetzmann   +2 more
core  

Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model

, 2010
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR).
Kannan, Balakrishnan, Lasscock, Ben, Mellen, Chris, Peters, Gareth W.   +3 more
core   +1 more source

Investigating the Effects of Build Height on Mechanical Behavior of Large‐Scale Laser Wire Directed Energy Deposited Nickel Titanium Alloy

Advanced Engineering Materials, EarlyView.
Laser wire directed energy deposition process was leveraged to fabricate large scale NiTi alloy wall. Evaluation of build‐height‐dependent tribo‐mechanical properties revealed significant differences in location specific sample characteristics. The middle region achieved optimal performance (superior wear resistance, balanced strength‐ductility ...
Hyunsuk Choi, Prayag Burad, Piash Bhowmik, Vishal Mahey, Yashwanth Bandari, Sougata Roy   +5 more
wiley   +1 more source

The Effect of Fat Tails on Rules for Optimal Pairs Trading: Performance Implications of Regime Switching with Poisson Events

International Journal of Financial Studies
This study examines the impact that fat-tailed distributions of the spread residuals have on the optimal orders for pairs trading of stocks and cryptocurrencies.
Pablo García-Risueño, Eduardo Ortas, José M. Moneva   +2 more
doaj   +1 more source