Works matching DE "PAIRS trading"

Results: 71

Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach.

Published in:

Emerging Markets Finance & Trade, 2013, v. 49, p. 47, doi. 10.2753/REE1540-496X4904S304

By:

Sun, David S.;
Tsai, Shih-Chuan;
Wang, Wei

Publication type:

Article

Pairs trading: does volatility timing matter?

Published in:

Applied Economics, 2015, v. 47, n. 57, p. 6239, doi. 10.1080/00036846.2015.1068923

By:

Huck, Nicolas

Publication type:

Article

Deep Learning Meets Statistical Arbitrage: An Application of Long Short-Term Memory Networks to Algorithmic Trading.

Published in:

Journal of Financial Data Science, 2022, v. 4, n. 4, p. 133, doi. 10.3905/jfds.2022.1.103

By:

Yijun Zhao;
Shengjian Xu;
Ossowski, Jacek

Publication type:

Article

Empirical Investigation of an Equity Pairs Trading Strategy.

Published in:

Management Science, 2019, v. 65, n. 1, p. 370, doi. 10.1287/mnsc.2017.2825

By:

Chen, Huafeng (Jason);
Chen, Shaojun (Jenny);
Chen, Zhuo;
Li, Feng

Publication type:

Article

Cooperative Hedging in Incomplete Markets.

Published in:

Stochastic Analysis & Applications, 2005, v. 23, n. 3, p. 475, doi. 10.1081/SAP-200056649

By:

Jianming Xia

Publication type:

Article

Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14.

Published in:

2020

By:

Ardia, David;
Gatarek, Lukasz T.;
Hoogerheide, Lennart;
Van Dijk, Herman K.

Publication type:

Correction Notice

An introduction to excursion risk through discrete-time excursions.

Published in:

JSIAM Letters (Online), 2023, v. 15, p. 97, doi. 10.14495/jsiaml.15.97

By:

Takahiko Fujita;
Naohiro Yoshida

Publication type:

Article

Experimental Comparison of HFT Pair Trading Strategies Using the Data of Microsecond and Nanosecond Future Commodity Contracts.

Published in:

Baltic Journal of Modern Computing, 2018, v. 6, n. 2, p. 195, doi. 10.22364/bjmc.2018.6.2.10

By:

VAITONIS, Mantas;
MASTEIKA, Saulius

Publication type:

Article

PAIRS TRADING: AN OPTIMAL SELLING RULE.

Published in:

Mathematical Control & Related Fields, 2015, v. 5, n. 3, p. 489, doi. 10.3934/mcrf.2015.5.489

By:

KEVIN KUO;
PHONG LUU;
DUY NGUYEN;
PERKERSON, ERIC;
THOMPSON, KATHERINE;
QING ZHANG

Publication type:

Article

DO BUSINESS CYCLES EXHIBIT BENEFICIAL INFORMATION FOR PORTFOLIO MANAGEMENT? AN EMPIRICAL APPLICATION OF STATISTICAL ARBITRAGE.

Published in:

Review of Finance & Banking, 2010, v. 2, n. 1, p. 41

By:

Grobys, Klaus

Publication type:

Article

Application of continuous-time random walk to statistical arbitrage.

Published in:

Journal of Engineering Science & Technology Review, 2015, v. 8, n. 1, p. 91

By:

Osmekhin, Sergey;
Délèze, Frédéric

Publication type:

Article

APPLICATIONS OF AN SPRT-LIKE TEST IN PARIMUTUEL WAGERING.

Published in:

Journal of Gambling Business & Economics, 2010, v. 4, n. 2, p. 63

By:

Porth, Lysa;
Rosenbloom, Earl

Publication type:

Article

A STATISTICAL ARBITRAGE TRADE BASED ON BETTING PRICE VOLATILITY.

Published in:

Journal of Prediction Markets, 2010, v. 4, n. 1, p. 7

By:

Brown, Alasdair

Publication type:

Article

Leveraged Exchange Trated Funds's Emerging Markets: A Practical Application of Statistical Arbitrage Based on Cointegration.

Published in:

Journal of Applied Economic Sciences, 2017, v. 12, n. 1, p. 9

By:

ORTIZ-ARANGO, Francisco;
URRUTIA-MARTÍNEZ, Daniel Ulises;
FLORES-MÉNDEZ, Alejandro

Publication type:

Article

In search of an evolutionary edge: trading with a few, more, or many.

Published in:

Journal of Evolutionary Economics, 2011, v. 21, n. 5, p. 721, doi. 10.1007/s00191-010-0182-4

By:

Stark, Oded;
Behrens, Doris

Publication type:

Article

Review of stochastic differential equations in statistical arbitrage pairs trading.

Published in:

Managerial Economics (1898-1143), 2019, v. 20, n. 2, p. 71, doi. 10.7494/manage.2019.20.2.71

By:

Endres, Sylvia

Publication type:

Article

STATISTICAL ARBITRAGE: A CRITICAL VIEW.

Published in:

Argumenta Oeconomica Cracoviensia, 2016, n. 15, p. 75, doi. 10.15678/AOC.2016.1505

By:

Jaśko, Przemysław

Publication type:

Article

Does Simple Pairs Trading Still Work?

Published in:

Financial Analysts Journal, 2010, v. 66, n. 4, p. 1, doi. 10.2469/faj.v66.n4.1

By:

Do, Binh;
Faff, Robert

Publication type:

Article

TESTING THE COINTEGRATION HYPOTHESIS AND ITS CONSEQUENCES ON THE INVESTMENT STRATEGY. AN EMPIRICAL STUDY ON CENTRAL-EASTERN EUROPE.

Published in:

Review of Economic Studies & Research Virgil Madgearu, 2012, v. 5, n. 1, p. 45

By:

Dumencu, Alexandra

Publication type:

Article

Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach.

Published in:

Accounting & Finance, 2017, v. 57, n. 5, p. 1237, doi. 10.1111/acfi.12335

By:

Chen, Danni;
Cui, Jing;
Gao, Yan;
Wu, Leilei

Publication type:

Article

Dynamic modeling of mean-reverting spreads for statistical arbitrage.

Published in:

Computational Management Science, 2011, v. 8, n. 1/2, p. 23, doi. 10.1007/s10287-009-0105-8

By:

Triantafyllopoulos, K.;
Montana, G.

Publication type:

Article

Performance of Pairs Trading Strategy in the U.S. REIT Market.

Published in:

Real Estate Economics, 2011, v. 39, n. 3, p. 409, doi. 10.1111/j.1540-6229.2010.00302.x

By:

Mori, Masaki;
Ziobrowski, Alan J.

Publication type:

Article

Arbitragem Estatística: Uma Abordagem por VECM.

Published in:

Brazilian Review of Finance / Revista Brasileira de Finanças, 2017, v. 15, n. 4, p. 537

By:

Andrea Soto, Paula;
Ruilova Teran, Juan Carlos

Publication type:

Article

Point-Nonpoint Trading - Can It Work?

Published in:

Journal of the American Water Resources Association, 2011, v. 47, n. 1, p. 5, doi. 10.1111/j.1752-1688.2010.00454.x

By:

Ribaudo, Marc O.;
Gottlieb, Jessica

Publication type:

Article

A ESTRATéGIA DE PARES NO MERCADO ACIONáRIO BRASILEIRO: O IMPACTO DA FREQUêNCIA DE DADOS.

Published in:

RAM. Mackenzie Management Review / RAM. Revista de Administração Mackenzie, 2015, v. 16, n. 2, p. 188, doi. 10.1590/1678-69712015/administracao.v16n2p188-213

By:

PONTUSCHKA, MARTIN;
PERLIN, MARCELO

Publication type:

Article

Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach.

Published in:

Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2016, v. 20, n. 12, p. 5051, doi. 10.1007/s00500-016-2298-4

By:

Fallahpour, Saeid;
Hakimian, Hasan;
Taheri, Khalil;
Ramezanifar, Ehsan

Publication type:

Article

Pairs trading in the Taiwan, Hong Kong, and China stock markets before and after short-selling deregulation.

Published in:

Corporate Management Review, 2020, v. 40, n. 1, p. 35

By:

Jai-Jen Wang

Publication type:

Article

Stock Price Co-Movement and the Foundations of Pairs Trading.

Published in:

Journal of Financial & Quantitative Analysis, 2019, v. 54, n. 2, p. 629, doi. 10.1017/S0022109018000789

By:

Farago, Adam;
Hjalmarsson, Erik

Publication type:

Article

Pairs trading and market efficiency using an adaptive market hypothesis framework: A pitch.

Published in:

Journal of Accounting & Management Information Systems / Contabilitate si Informatica de Gestiune, 2016, v. 15, n. 1, p. 178

By:

Rad, Hossein

Publication type:

Article

Author Index Volume 21 (2018).

Published in:: International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 8, p. N.PAG, doi. 10.1142/S0219024918990017
Publication type:: Article

PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION.

Published in:

International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 7, p. N.PAG, doi. 10.1142/S0219024918500462

By:

ALTAY, SÜHAN;
COLANERI, KATIA;
EKSI, ZEHRA

Publication type:

Article

PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 8, p. -1, doi. 10.1142/S0219024916500540

By:

LEE, SANGMIN;
PAPANICOLAOU, ANDREW

Publication type:

Article

PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 4, p. -1, doi. 10.1142/S0219024916500230

By:

MIAO, JIA;
LAWS, JASON

Publication type:

Article

OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.

Published in:

International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 3, p. -1, doi. 10.1142/S021902491550020X

By:

LEUNG, TIM;
LI, XIN

Publication type:

Article

BAYESIAN NEURAL NETWORKS WITH DEPENDENT DIRICHLET PROCESS PRIORS. APPLICATION TO PAIRS TRADING.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2018, v. 52, n. 4, p. 5, doi. 10.24818/18423264/52.4.18.01

By:

RUXANDA, Gheorghe;
OPINCARIU, Sorin

Publication type:

Article

Mannheim B-Curves in the Euclidean 3-Space E<sup>3</sup>.

Published in:

Kuwait Journal of Science, 2017, v. 44, n. 1, p. 36

By:

Masal, Melek;
Azak, Ayşe Z.

Publication type:

Article

Exploring Mispricing in the Term Structure of CDS Spreads *.

Published in:

Review of Finance, 2019, v. 23, n. 1, p. 161, doi. 10.1093/rof/rfy014

By:

Jarrow, Robert;
Li, Haitao;
Ye, Xiaoxia;
Hu, May

Publication type:

Article

Statistical Arbitrage with Pairs Trading.

Published in:

International Review of Finance, 2016, v. 16, n. 2, p. 307, doi. 10.1111/irfi.12074

By:

Göncü, Ahmet;
Akyıldırım, Erdinç

Publication type:

Article

International Stock Market Integration and Its Economic Determinants: A Study of Indian and World Equity Markets.

Published in:

Vikalpa: The Journal for Decision Makers, 2007, v. 32, n. 4, p. 29, doi. 10.1177/0256090920070403

By:

Mukherjee, Kedarnath;
Mishra, R. K.

Publication type:

Article

Multifactor implied volatility functions for HJM models.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 8, p. 809, doi. 10.1002/fut.20215

By:

I-Doun Kuo;
Paxson, Dean A.

Publication type:

Article

Liquidity risk and the hedging role of options.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 8, p. 789, doi. 10.1002/fut.20217

By:

Kit Pong Wong;
Jianguo Xu

Publication type:

Article

Estimation bias of futures hedging performance: A note.

Published in:

Journal of Futures Markets, 2006, v. 26, n. 8, p. 835, doi. 10.1002/fut.20222

By:

Lien, Donald

Publication type:

Article

Time series regression-based pairs trading in the Korean equities market.

Published in:

Journal of Experimental & Theoretical Artificial Intelligence, 2017, v. 29, n. 4, p. 755, doi. 10.1080/0952813X.2016.1259265

By:

Kim, Saejoon;
Heo, Jun

Publication type:

Article

PAIRS TRADING AND VALUE INVESTING STRATEGIES.

Published in:

International Journal of Business & Economics Perspectives, 2013, v. 8, n. 2, p. 119

By:

Panyagometh, Kamphol

Publication type:

Article

Stable Multicommodity Flows.

Published in:

Algorithms, 2013, v. 6, n. 1, p. 161, doi. 10.3390/a6010161

By:

Király, Tamás;
Pap, Júlia

Publication type:

Article

Pairs Trading: Performance of a Relative-Value Arbitrage Rule.

Published in:

Review of Financial Studies, 2006, v. 19, n. 3, p. 797, doi. 10.1093/rfs/hhj020

By:

Gatev, Evan;
Goetzmann, William N.;
Rouwenhorst, K. Geert

Publication type:

Article

AN ALGORITHM-BASED STATISTICAL ARBITRAGE HIGH FREQUENCY TRADING SYSTEM TO FORECAST PRICES OF NATURAL GAS FUTURES.

Published in:

Transformations in Business & Economics, 2014, v. 13, n. 3, p. 96

By:

Driaunys, Kestutis;
Masteika, Saulius;
Sakalauskas, Virgilijus;
Vaitonis, Mantas

Publication type:

Article

Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach.

Published in:

Computational Statistics, 2016, v. 31, n. 1, p. 1, doi. 10.1007/s00180-015-0624-4

By:

Chen, Cathy;
Lee, Sangyeol;
Chen, Shu-Yu

Publication type:

Article

Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500.

Published in:

Quantitative Finance, 2019, v. 19, n. 6, p. 921, doi. 10.1080/14697688.2018.1537503

By:

Stübinger, Johannes

Publication type:

Article

Statistical arbitrage with vine copulas.

Published in:

Quantitative Finance, 2018, v. 18, n. 11, p. 1831, doi. 10.1080/14697688.2018.1438642

By:

Stübinger, Johannes;
Mangold, Benedikt;
Krauss, Christopher

Publication type:

Article