Results 21 to 30 of about 142,438 (299)
An Entropic Approach for Pair Trading [PDF]
Entropy, 2017 In this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair. However, if the assumed model contains uncertainty, the resulting boundary could result in large losses.
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MISPRICINGS IN GLOBAL ENERGY MARKETS
Applied Finance Letters, 2022 Financial market participants can benefit from understanding how shocks affect equity mispricings. Energy corporates have been exposed to multiple structural changes over the past decades.
Isabel Figuerola-Ferretti +2 more
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Bertram’s pairs trading strategy with bounded risk [PDF]
Central European Journal of Operations Research, 2021 Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit per unit of time. This model is generalized to the form where the riskiness of profit, measured by its per-time-unit
Vladimír Holý, Michal Cerný
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Pairs trading techniques: An empirical contrast
European Research on Management and Business Economics, 2018 Pairs trading is one of the most commonly used market neutral strategies. Over the last few years, several hedge funds have used different ways to successfully implement this trading strategy.
Mario Carrasco Blázquez +2 more
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Quantifying preferential trading in the e-MID interbank market [PDF]
, 2013 Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system.
Carollo A. +10 more
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Pairs trading with the persistence-based decomposition model
Managerial Economics, 2020 Recently, the persistence-based decomposition (PBD) model has been introduced to the scientific community by Rende et al. (2019). It decomposes a spread time series between two securities into three components capturing infinite, finite, and no shock ...
Jonas Rende
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Revisiting the Copula-Based Trading Method Using the Laplace Marginal Distribution Function
Mathematics, 2022 Pairs trading under the copula approach is revisited in this paper. It is well known that financial returns arising from indices in markets may not follow the features of normal distribution and may exhibit asymmetry or fatter tails, in particular.
Tayyebeh Nadaf +2 more
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Optimal Settings for Cryptocurrency Trading Pairs
CoRR, 2022 The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it is impractical to set up a trading market between every two currencies.
Zhang, Di, Zhou, Youzhou
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Machine Learning-Enhanced Pairs Trading
ForecastingForecasting returns in financial markets is notoriously challenging due to the resemblance of price changes to white noise. In this paper, we propose novel methods to address this challenge.
Eli Hadad +3 more
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Trading strategies with copulas
Journal of Economic and Financial Sciences, 2013 A new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate copulas and
Yolanda Stander +2 more
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