Results 21 to 30 of about 7,740,955 (377)
Application of Kalman Filter to Estimate Dynamic Hedge Ratio in Pairs Trading Strategy: A Case Study of the Automobile Industry [PDF]
تحقیقات مالی, 2023 Objective: Pairs trading strategies have been around since the mid-1980s and have gained widespread acceptance in recent years. A pairs trading strategy is one of the forms of statistical arbitrage done to make a profit. It bases on the return related to
Mohammad Javad Nourahmadi +1 more
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Multiple game trading strategy of multiple virtual power plants considering carbon trading
Frontiers in Energy Research, 2023 The large-scale access of distributed energy resources has a certain impact on the power grid, so distributed energy resources cannot participate in the power market transactions alone. The concept of the virtual power plant (VPP) has thus emerged, which
Tianfeng Chu +5 more
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Trading strategies of corporate insiders [PDF]
Journal of Financial Markets, 2012 We test two complementary theories of optimal trading strategies by analyzing transaction patterns of corporate insiders: Information-based theories predict that investors trade faster if they compete with others for exploiting the same information. Liquidity-based theories predict the opposite.
Klein, Olga +2 more
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Additional Limit Conditions for Breakout Trading Strategies [PDF]
Informatică economică, 2019 One of the most popular trading methods used in financial markets is the Turtle strategy. Long time passed since the middle of 1983 when Richard Dennis and Bill Eckhardt disputed about whether great traders were born or made.
Cristian PAUNA
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IEEE Access, 2020 The traditional energy system has the disadvantages of high energy consumption and high emission. Through multiple energy networks interconnection and flexible energy conversion, the regional integrated energy system (RIES) can satisfy various energy ...
Bo Miao +6 more
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The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure
Computation, 2021 The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies.
Oleksandr Terentiev +4 more
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A Note on the Effectiveness of Pairs Trading for Individual Investors
International Journal of Economics and Financial Issues, 2013 We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor.
Fabio Pizzutilo
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Mathematics, 2023 Advancements in machine learning have led to an increased interest in applying deep reinforcement learning techniques to investment decision-making problems. Despite this, existing approaches often rely solely on single-scaling daily data, neglecting the
Yuling Huang +3 more
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Limits of semistatic trading strategies
Mathematical Finance, 2022 AbstractWe show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two‐period model, and under a probabilistic condition for multiperiod, multistock models.
Marcel Nutz, Johannes Wiesel, Long Zhao
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Oil market financialisation and Russian Government budget hedging
Стратегические решения и риск-менеджмент, 2018 Market financialisation radically changes the process of oil pricing and results in increase of price volatility. Normal contango situation in financial markets is favorable for government risk hedging.
V. V. Bushuev +2 more
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