Results 41 to 50 of about 3,181,879 (366)
An innovative high-frequency statistical arbitrage in Chinese futures market
Journal of Innovation & Knowledge, 2023 The primary use of futures is hedging risk. Traders in the spot market can hedge certain risks through the futures market. With the development of the futures market, the arbitrage transactions around futures have attracted increasingly attention.
Chengying He +3 more
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Trading model with pair pattern strategies [PDF]
Physica A: Statistical Mechanics and its Applications, 2008 22 pages, 16 ...
Ren, F., Zhang, Yi-Cheng
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Computational EconomicsA pairs trading strategy (PTS) constructs a mean-reverting portfolio whose logarithmic value moves back and forth around a mean price level. It makes profits by longing (or shorting) the portfolio when it is underpriced (overpriced) and closing the ...
Yen-Wu Ti +4 more
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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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Modeling Similarities Among Multi-Dimensional Financial Time Series
IEEE Access, 2018 Pairs trading is one of the most successful strategies for stock investment. The performance of pairs trading heavily depends on modeling how similarity of two paired financial signals.
Dawei Cheng +3 more
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Review of stochastic differential equations in statistical arbitrage pairs trading
Managerial Economics, 2020 The use of stochastic differential equations offers great advantages for statistical arbitrage pairs trading. In particular, it allows the selection of pairs with desirable properties, e.g., strong mean-reversion, and it renders traditional rules of ...
Sylvia Endres
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Stochastic Neural Networks-Based Algorithmic Trading for the Cryptocurrency Market
Mathematics, 2022 Throughout the history of modern finance, very few financial instruments have been as strikingly volatile as cryptocurrencies. The long-term prospects of cryptocurrencies remain uncertain; however, taking advantage of recent advances in neural networks ...
Vasu Kalariya +7 more
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Comparative Economic ResearchPairs trading has been a successful tool for traders since its inception in the 1980s and has evolved significantly with the introduction of algorithmic, machine, and AI trading.
Julija Mosina, Grigorij Žilinskij
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Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 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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