Results 11 to 20 of about 1,288 (228)
Does short-term technical trading exist in the Vietnamese stock market?
Borsa Istanbul Review, 2021 The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities.
Duc Khuong Nguyen +3 more
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Forecasting semi-stationary processes and statistical arbitrage
Statistical Theory and Related Fields, 2020 If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors
Si Bao, Shi Chen, Wei An Zheng, Yu Zhou
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Statistical arbitrage under the efficient market hypothesis
Statistical Theory and Related Fields, 2020 When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis.
Si Bao +4 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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Optimization of Orderly Charging/Discharging Strategy for Electric Vehicles Considering Incremental Cost of V2G [PDF]
E3S Web of Conferences, 2023 The integration of electric vehicles (EV) into demand-side response holds significant potential, which not only helps to reduce the operational expense of EVs, but also presents a viable strategy for the grid peak regulation.
Yu Saier, Huang Yiyu, Chen Yang
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Pairs trading of nearly identical twin stocks: The case of GOOGL versus GOOG
South African Journal of Business ManagementPurpose: As computer technology and statistical methods advance, statistical arbitrage research focuses on developing more sophisticated trading methods.
Che-Ming Yang, An-Sing Chen
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U.S. Equity Mean-Reversion Examined
Risks, 2013 In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and
Jim Liew, Ryan Roberts
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Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets
RisksIn this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three
Viviana Fanelli
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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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Machine learning for cryptocurrency market prediction and trading
Journal of Finance and Data Science, 2022 We employ and analyze various machine learning models for daily cryptocurrency market prediction and trading. We train the models to predict binary relative daily market movements of the 100 largest cryptocurrencies.
Patrick Jaquart +2 more
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