Results 251 to 260 of about 142,438 (299)

An LSTM-based optimization algorithm for enhancing quantitative arbitrage trading. [PDF]

PeerJ Comput Sci
Han G, Li H.
europepmc   +1 more source

Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]

Entropy (Basel)
Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc   +1 more source

A new dataset on climate distance for trade analyses. [PDF]

Data Brief
Bozzola M, Lamonaca E, Santeramo FG.
europepmc   +1 more source

Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance

Salvagnin C, Tatto Vd, De Giuli ME, Mira A, Glielmo A.   +4 more
europepmc   +1 more source

Pairs trading

Quantitative Finance, 2005
'Pairs Trading' is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical framework for such an investment strategy.
Robert J Elliott
exaly   +4 more sources

Pairs trading: A copula approach [PDF]

Journal of Derivatives and 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 ...
Yuan Wu
exaly   +4 more sources

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Pairs trading with wavelet transform

Quantitative Finance, 2023
We show that applying the wavelet transform to S & P 500 constituents' prices generates a substantial increase in the returns of the pairs-trading strategy. Pairs trading strategy is based on finding prices that move together, but if there is shared noise in the asset prices, the co-movement, on which one base the trades, might be caused by this common
Burak Alparslan Eroğlu, Haluk Yener, Taner Yiğit   +2 more
openaire   +2 more sources

Pairs Trading via Unsupervised Learning

SSRN Electronic Journal, 2021
This paper develops a pairs trading strategy via unsupervised learning. Unlike conventional pairs trading strategies that identify pairs based on return time series, we identify pairs by incorporating firm characteristics as well as price information.
Chulwoo Han, Zhaodong He, Alenson Jun Wei Toh   +2 more
openaire   +1 more source

Are Pairs Trading Profits Robust to Trading Costs?

SSRN Electronic Journal, 2011
AbstractWe examine the impact of trading costs on pairs trading profitability in the U.S. equity market, 1963 to 2009. After controlling for commissions, market impact, and short selling fees, pairs trading remains profitable, albeit at much more modest levels.
Do, Binh, Faff, Robert
openaire   +3 more sources