Results 341 to 350 of about 3,181,879 (366)
Some of the next articles are maybe not open access.
Pairs trading of Chinese and international commodities
Applied Economics, 2020We investigate the profitability of a pairs trading strategy using Chinese and international commodity futures contracts covering the period January 2004 to February 2018. We use a time-series approach where the commodity pairs share a similar underlying.
Adrian Fernández-Pérez +3 more
semanticscholar +1 more source
Prediction of the Profitability of Pairs Trading Strategy Using Machine Learning
Conference on Industrial Electronics and Applications, 2020Pairs trading strategy is one of the well-known quantitative trading strategy developed in 1980s by the team of scientists. There are many researchers trying to study and create the mathematical model to improve the pairs trading strategy on various ...
Ronnachai Jirapongpan, N. Phumchusri
semanticscholar +1 more source
An Evaluation of Pairs Trading in Commodity Futures Markets
2020 IEEE International Conference on Big Data (Big Data), 2020Pairs trading is an algorithm to trade two cointegrated assets in order to get neutral profits theoretically. This paper is aimed to demonstrate the cointegration concepts and pairs trading algorithms.
Li Shen, Kun Shen, Chao Yi, Yixin Chen
semanticscholar +1 more source
SSRN Electronic Journal, 2010
Using a newly introduced TRACE variable that identifies the side(s) taken by dealers in each trade, I find that 37 percent of dealer-client trades are accompanied by an inter-dealer trade, usually for the exact same quantity and often executed at the exact second as the client trade. All but 0.4 percent of these trade pairs would involve a non-negative
openaire +1 more source
Using a newly introduced TRACE variable that identifies the side(s) taken by dealers in each trade, I find that 37 percent of dealer-client trades are accompanied by an inter-dealer trade, usually for the exact same quantity and often executed at the exact second as the client trade. All but 0.4 percent of these trade pairs would involve a non-negative
openaire +1 more source
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process
, 2020This paper studies the performance of pairs trading strategy under a specific spread model. Based on the empirical evidence of mean reversion and jumps in the spread between pairs of stocks, we assume that the spread follows a Lévy-driven Ornstein ...
Lan Wu, Xin Zang, Hongxin Zhao
semanticscholar +1 more source
International Conference on Big Data and Smart Computing, 2020
Pairs trading is a statistical arbitrage strategy which first monitors two stocks whose prices are cointegrated, and then makes arbitrage when the prices of these two stocks get non-conintegrated.
Shen-Hang Huang +7 more
semanticscholar +1 more source
Pairs trading is a statistical arbitrage strategy which first monitors two stocks whose prices are cointegrated, and then makes arbitrage when the prices of these two stocks get non-conintegrated.
Shen-Hang Huang +7 more
semanticscholar +1 more source
Empirical Investigation of an Equity Pairs Trading Strategy
Management Sciences, 2017We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that this return is not driven purely by the short-term reversal of returns.
Huafeng (Jason) Chen +3 more
semanticscholar +1 more source
Improving Pairs Trading Using Neural Network Techniques and Fundamental Ratios
, 2020Pairs trading is a quantitative trading strategy consisting on identifying two stocks that historically move together and, using the assumption that their prices difference has mean- reverting properties, exploit the deviation from the mean by taking ...
J. Ospino +2 more
semanticscholar +1 more source
Simulated Trading-An Analysis of Pairs Trading [PDF]
, 2004 In this report, we explain and analyze a trading strategy, popularly known as Pairs trading. We begin by explaining what a pair trading strategy entails. Since there are various ways of implementing the strategy, we describe the methodology selected by us in section 3. Thereafter, we look at the returns from the strategy and benchmark it to the S&P 500
Nikesh Agarwal +2 more
openaire