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Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading
IEEE Transactions on Circuits and Systems Part 1: Regular Papers, 2021Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important step of this strategy is selecting pairs of stocks. Compared with other existing pairs selection approaches, the Engle-Granger cointegration is more stable ...
Shuang Liang +3 more
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Equilibrium pairs trading under delayed cointegration
Automatica, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yan, Tingjin, Wong, Hoi Ying
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Pairs trading with costly short-selling
Journal of Economic Dynamics and Control, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xu, Jing, Yang, Peiquan
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PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS
International Journal of Theoretical and Applied Finance, 2023In this paper, we propose a pairs trading strategy using the theory of topological data analysis (TDA). The proposed strategy is model-free. We propose a TDA-based distance to measure dependence between a pair of stochastic processes. We derive an upper bound of this distance in terms of a function of the canonical correlation of the processes, which ...
SOURAV MAJUMDAR, ARNAB KUMAR LAHA
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Price discovery and pairs trading potentials: the case of metals markets
, 2021Purpose This study aims to validate the “expectancy theory” of asset pricing and explores the price discovery process in metals futures markets. Design/methodology/approach This paper adopts the Johansen cointegration and vector error correction model
S. Nair
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Are Pairs Trading Profits Robust to Trading Costs?
SSRN Electronic Journal, 2011AbstractWe 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
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A good pair: alternative pairs-trading strategies
Financial Markets and Portfolio Management, 2017This paper studies alternative techniques for identifying stock pairs in a pairs-trading strategy over 1980–2014. We consider two main techniques: the distance approach and the cointegration approach. We also consider a range of parameterizations of the trading system design. Parameterization of the trading system matters for the profitability of pairs
R. Todd Smith, Xun Xu
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SSRN Electronic Journal, 2014
Pairs trading is a well-known speculative investment strategy, with the distance method the most commonly implemented variation. However, the profitability of this approach has decreased in recent years. This article seeks to generalize the pairs trading strategy using a copula technique to explicitly capture the marginal distributions as well as the ...
Wenjun Xie +3 more
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Pairs trading is a well-known speculative investment strategy, with the distance method the most commonly implemented variation. However, the profitability of this approach has decreased in recent years. This article seeks to generalize the pairs trading strategy using a copula technique to explicitly capture the marginal distributions as well as the ...
Wenjun Xie +3 more
openaire +1 more source
Deep Reinforcement Learning Pairs Trading with a Double Deep Q-Network
Computing and Communication Workshop and Conference, 2020This research applies a deep reinforcement learning technique, Deep Q-network (DQN), to a stock market pairs trading strategy for profit. There is a need for this work, not only to further the use of reinforcement learning in stock market trading, but in
Andrew Brim
semanticscholar +1 more source
2023
The purpose of this thesis is primarily the thorough study of couples shares of the Athens Stock Exchange for a period of six months through the so-called "pair trading" investment strategy. In particular, pair trading is a special well-known and effective method of trading for the market and has been exploited to a large extent degree from several ...
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The purpose of this thesis is primarily the thorough study of couples shares of the Athens Stock Exchange for a period of six months through the so-called "pair trading" investment strategy. In particular, pair trading is a special well-known and effective method of trading for the market and has been exploited to a large extent degree from several ...
openaire +1 more source