Results 271 to 280 of about 142,438 (299)
Some of the next articles are maybe not open access.
We develop an automated framework for cryptocurrency pairs trading that identifies stable relationships across assets and executes mean reversion strategies in real time. Using 2 years of hourly data for more than 500 coins, we construct a multi-stage selection process that combines correlation clustering, structural metadata, and stability diagnostics
Sasha Stoikov +5 more
openaire +1 more source
Sasha Stoikov +5 more
openaire +1 more source
2023
This work applies the Pairs-Trading strategy in the European context, namely to the stoxx600 index. This was conducted with daily data over 22 years between 1998 and 2020. The strategy can deliver an average compounded annualized return of 3.62% when the pairs are found by using the prices on the 24-months prior to be traded in the following 6-months ...
openaire +1 more source
This work applies the Pairs-Trading strategy in the European context, namely to the stoxx600 index. This was conducted with daily data over 22 years between 1998 and 2020. The strategy can deliver an average compounded annualized return of 3.62% when the pairs are found by using the prices on the 24-months prior to be traded in the following 6-months ...
openaire +1 more source
Pairs trading via unsupervised learning
European Journal of Operational Research, 2023Zhaodong He
exaly
2017
Pair trading is a well-known strategy based on statistical arbitrage. This strategy uses a short-term deviation from the mean value of the price ratio of two highly correlated stocks from the same sector as the opportunity to open a position. When ratio returns to its mean value again, the position closes. This strategy has been used for many years and
openaire +1 more source
Pair trading is a well-known strategy based on statistical arbitrage. This strategy uses a short-term deviation from the mean value of the price ratio of two highly correlated stocks from the same sector as the opportunity to open a position. When ratio returns to its mean value again, the position closes. This strategy has been used for many years and
openaire +1 more source
Empirical Investigation of an Equity Pairs Trading Strategy
Management Science, 2019Huafeng Chen
exaly
Enhancing a Pairs Trading strategy with the application of Machine Learning
Expert Systems With Applications, 2020Nuno Horta
exaly