Paired Trading Strategy Optimization Using the Reinforcement Learning Method: Intraday Data of Tehran Stock Exchange [PDF]
تحقیقات مالی, 2019 Objective: Paired trading is among the most well-known and oldest algorithmic trading systems. The efficiency and profitability of this system have been demonstrated in many studies conducted so far in financial markets.
Saeid Fallahpour, Hasan Hakimian
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Profitabilitas Strategi Momentum di Bursa Efek Indonesia (Periode Januari 2003 – Desember 2007)
Jurnal Siasat Bisnis, 2008 Momentum trading strategy present challenges to the concept of efficient market theory. Many studies investigate the profitability of momentum trading strategy in international and domestic equity market and evidence has shown that this strategy could ...
B Yuliarto Nugroho
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A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
Risks, 2019 This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53 ...
Stanislaus Maier-Paape +2 more
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Extending the Omega model with momentum and reversal strategies to intraday trading.
PLoS ONE, 2023 This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100.
Jing-Rung Yu +3 more
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The Pricing of ESG: Evidence From Overnight Return and Intraday Return
Frontiers in Environmental Science, 2022 By featuring the link of investor heterogeneity to the persistence of the overnight and intraday components of returns, we examine the ESG–overnight (intraday) alpha relation in the Chinese stock market.
Xiaoqun Liu +2 more
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A Mean-VaR Based Deep Reinforcement Learning Framework for Practical Algorithmic Trading
IEEE Access, 2023 It is difficult to automatically produce trading signals based on previous transaction data and the financial status of assets because of the significant noise and unpredictability of capital markets.
Boyi Jin
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Intelligent Dynamic Backlash Agent: A Trading Strategy Based on the Directional Change Framework
Algorithms, 2018 The Directional Changes (DC) framework is an approach to summarize price movement in financial time series. Some studies have tried to develop trading strategies based on the DC framework.
Amer Bakhach +3 more
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Constructing Equity Investment Strategies Using Analyst Reports and Regime Switching Models
Frontiers in Artificial Intelligence, 2022 This study demonstrates whether analysts' sentiments toward individual stocks are useful for stock investment strategies. This is achieved by using natural language processing to create a polarity index from textual information in analyst reports.
Rei Taguchi +4 more
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How Wave - Wavelet Trading Wins and "Beats" the Market
, 2017 The purpose of this paper is to showcase trading strategies that give solutions to three difficult and intriguing problems in business finance, economics and statistics.
Brown, André EX (5398142) +11 more
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An LSTM-based optimization algorithm for enhancing quantitative arbitrage trading [PDF]
PeerJ Computer ScienceArbitrage trading is a common quantitative trading strategy that leverages the long-term cointegration relationships between multiple related assets to conduct spread trading for profit.
Guodong Han, Hecheng Li
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