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Pairs trading with wavelet transform
Quantitative Finance, 2023We show that applying the wavelet transform to S&P 500 constituents' prices generates a substantial increase in the returns of the pairs-trading strategy.
Burak Alparslan Eroğlu +2 more
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Pairs trading in cryptocurrency markets: A comparative study of statistical methods
Investment Analysts Journal, 2023This study aims to identify a secure and efficient trading approach for investors in highly volatile cryptocurrency markets. While pairs trading is a promising strategy, the available literature on this topic in cryptocurrency markets is limited and ...
Po-Chang Ko +5 more
semanticscholar +1 more source
Pairs Trading Strategy Optimization Using Proximal Policy Optimization Algorithms
International Conference on Big Data and Smart Computing, 2023Pairs trading is a market-neutral quantitative trading strategy which exploits historically correlated stock prices by forming pairs with weighted long and short positions.
Yi-Feng Chen +4 more
semanticscholar +1 more source
Intraday high-frequency pairs trading strategies for energy futures: evidence from China
Applied Economics, 2023We investigate the performance of pairs trading strategies based on Ornstein-Uhlenbeck (OU) process with jump-diffusion and regime-switching using minute-level data for five Chinese energy futures from 2 January 2020 to 30 November 2021 and compare them ...
Jing Luo, YuCheng Lin, Sijia Wang
semanticscholar +1 more source
Pairs trading under delayed cointegration
Quantitative finance (Print), 2022Continuous-time pairs trading rules are often developed based on the diffusion limit of the first-order vector autoregressive (VAR(1)) cointegration models.
Tingjin Yan, Mei Choi Chiu, H. Y. Wong
semanticscholar +1 more source
A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies
Annual International Computer Software and Applications Conference, 2022Pairs trading strategies are constructed based on exploiting mean reversion in security prices, which have been demonstrated to perform well for stocks. However, their performance is not widely studied for cryptocurrencies, which are usually discerned as
You Liang +5 more
semanticscholar +1 more source
In search of pairs using firm fundamentals: is pairs trading profitable?
Social Science Research Network, 2022We investigate whether spurious pairs created by multiple hypothesis testing can be minimized when firm characteristics are used to identify pairs.
S. Hong, Soosung Hwang
semanticscholar +1 more source
Pairs trading with fractional Ornstein–Uhlenbeck spread model
Applied Economics, 2022This paper proposes to model the spreads associated with financial asset prices by fractional Ornstein – Uhlenbeck (fOU) processes and constructs a pairs trading strategy based on the fOU spread model.
Yun Xiang, Yonghong Zhao, Shijie Deng
semanticscholar +1 more source
Improving Pairs Trading Strategies via Reinforcement Learning
2021 International Conference on Applied Artificial Intelligence (ICAPAI), 2021There has been a growing interest in applying reinforcement learning (RL) to financial trading problems. One particular interesting problem is pairs trading, which is a market-neutral strategy that attempts to profit from temporary price divergences ...
Cheng Wang, Patrik Sandås, P. Beling
semanticscholar +1 more source
Pairs trading with general state space models
Quantitative finance (Print), 2021This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an unobservable state variable assuming that it follows a mean-reverting process.
Guang Zhang
semanticscholar +1 more source