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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
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- Article
Deep Learning Meets Statistical Arbitrage: An Application of Long Short-Term Memory Networks to Algorithmic Trading.
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- Journal of Financial Data Science, 2022, v. 4, n. 4, p. 133, doi. 10.3905/jfds.2022.1.103
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- Article
The Long and the Short of Risk Parity.
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- Journal of Portfolio Management, 2022, v. 48, n. 4, p. 241, doi. 10.3905/jpm.2022.1.333
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- Article
Pairs trading in the Taiwan, Hong Kong, and China stock markets before and after short-selling deregulation.
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- Corporate Management Review, 2020, v. 40, n. 1, p. 35
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- 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
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- Publication type:
- Correction Notice
Review of stochastic differential equations in statistical arbitrage pairs trading.
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- Managerial Economics (1898-1143), 2019, v. 20, n. 2, p. 71, doi. 10.7494/manage.2019.20.2.71
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- Article
Stock Price Co-Movement and the Foundations of Pairs Trading.
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- Journal of Financial & Quantitative Analysis, 2019, v. 54, n. 2, p. 629, doi. 10.1017/S0022109018000789
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- Article
Exploring Mispricing in the Term Structure of CDS Spreads *.
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- Review of Finance, 2019, v. 23, n. 1, p. 161, doi. 10.1093/rof/rfy014
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- Article
Empirical Investigation of an Equity Pairs Trading Strategy.
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- Management Science, 2019, v. 65, n. 1, p. 370, doi. 10.1287/mnsc.2017.2825
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- Publication type:
- Article
BAYESIAN NEURAL NETWORKS WITH DEPENDENT DIRICHLET PROCESS PRIORS. APPLICATION TO PAIRS TRADING.
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- Economic Computation & Economic Cybernetics Studies & Research, 2018, v. 52, n. 4, p. 5, doi. 10.24818/18423264/52.4.18.01
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- 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.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 7, p. N.PAG, doi. 10.1142/S0219024918500462
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- 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
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- Publication type:
- Article
Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach.
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- Accounting & Finance, 2017, v. 57, n. 5, p. 1237, doi. 10.1111/acfi.12335
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- Article
Arbitragem Estatística: Uma Abordagem por VECM.
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- Brazilian Review of Finance / Revista Brasileira de Finanças, 2017, v. 15, n. 4, p. 537
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- Publication type:
- Article
STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK-SCHOLES ECONOMY.
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- Annals of Financial Economics, 2017, v. 12, n. 1, p. -1, doi. 10.1142/S201049521750004X
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- Publication type:
- Article
Leveraged Exchange Trated Funds's Emerging Markets: A Practical Application of Statistical Arbitrage Based on Cointegration.
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- Journal of Applied Economic Sciences, 2017, v. 12, n. 1, p. 9
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- Article
Mannheim B-Curves in the Euclidean 3-Space E<sup>3</sup>.
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- Kuwait Journal of Science, 2017, v. 44, n. 1, p. 36
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- Publication type:
- Article
PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 8, p. -1, doi. 10.1142/S0219024916500540
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- Publication type:
- Article
Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach.
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- Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2016, v. 20, n. 12, p. 5051, doi. 10.1007/s00500-016-2298-4
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- Article
STATISTICAL ARBITRAGE: A CRITICAL VIEW.
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- Argumenta Oeconomica Cracoviensia, 2016, n. 15, p. 75, doi. 10.15678/AOC.2016.1505
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- Article
PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 4, p. -1, doi. 10.1142/S0219024916500230
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- Publication type:
- Article
Statistical Arbitrage with Pairs Trading.
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- International Review of Finance, 2016, v. 16, n. 2, p. 307, doi. 10.1111/irfi.12074
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- Publication type:
- Article
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach.
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- Computational Statistics, 2016, v. 31, n. 1, p. 1, doi. 10.1007/s00180-015-0624-4
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- Article
Pairs trading and market efficiency using an adaptive market hypothesis framework: A pitch.
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- Journal of Accounting & Management Information Systems / Contabilitate si Informatica de Gestiune, 2016, v. 15, n. 1, p. 178
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- Publication type:
- Article
PAIRS TRADING: AN OPTIMAL SELLING RULE.
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- Mathematical Control & Related Fields, 2015, v. 5, n. 3, p. 489, doi. 10.3934/mcrf.2015.5.489
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- Publication type:
- Article
An Intelligent Model for Pairs Trading Using Genetic Algorithms.
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- Computational Intelligence & Neuroscience, 2015, v. 2015, p. 1, doi. 10.1155/2015/939606
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- Publication type:
- Article
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 3, p. -1, doi. 10.1142/S021902491550020X
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- Publication type:
- Article
A ESTRATéGIA DE PARES NO MERCADO ACIONáRIO BRASILEIRO: O IMPACTO DA FREQUêNCIA DE DADOS.
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- RAM. Mackenzie Management Review / RAM. Revista de Administração Mackenzie, 2015, v. 16, n. 2, p. 188, doi. 10.1590/1678-69712015/administracao.v16n2p188-213
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- Article
Application of continuous-time random walk to statistical arbitrage.
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- Journal of Engineering Science & Technology Review, 2015, v. 8, n. 1, p. 91
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- Article
AN ALGORITHM-BASED STATISTICAL ARBITRAGE HIGH FREQUENCY TRADING SYSTEM TO FORECAST PRICES OF NATURAL GAS FUTURES.
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- Transformations in Business & Economics, 2014, v. 13, n. 3, p. 96
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- Publication type:
- Article
PAIRS TRADING AND VALUE INVESTING STRATEGIES.
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- International Journal of Business & Economics Perspectives, 2013, v. 8, n. 2, p. 119
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- Article
Stable Multicommodity Flows.
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- Algorithms, 2013, v. 6, n. 1, p. 161, doi. 10.3390/a6010161
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- Article
TESTING THE COINTEGRATION HYPOTHESIS AND ITS CONSEQUENCES ON THE INVESTMENT STRATEGY. AN EMPIRICAL STUDY ON CENTRAL-EASTERN EUROPE.
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- Review of Economic Studies & Research Virgil Madgearu, 2012, v. 5, n. 1, p. 45
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- Article
In search of an evolutionary edge: trading with a few, more, or many.
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- Journal of Evolutionary Economics, 2011, v. 21, n. 5, p. 721, doi. 10.1007/s00191-010-0182-4
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- Article
Performance of Pairs Trading Strategy in the U.S. REIT Market.
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- Real Estate Economics, 2011, v. 39, n. 3, p. 409, doi. 10.1111/j.1540-6229.2010.00302.x
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- Publication type:
- Article
Dynamic modeling of mean-reverting spreads for statistical arbitrage.
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- Computational Management Science, 2011, v. 8, n. 1/2, p. 23, doi. 10.1007/s10287-009-0105-8
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- Publication type:
- Article
Point-Nonpoint Trading - Can It Work?
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- Journal of the American Water Resources Association, 2011, v. 47, n. 1, p. 5, doi. 10.1111/j.1752-1688.2010.00454.x
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- Publication type:
- Article
APPLICATIONS OF AN SPRT-LIKE TEST IN PARIMUTUEL WAGERING.
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- Journal of Gambling Business & Economics, 2010, v. 4, n. 2, p. 63
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- Publication type:
- Article
DO BUSINESS CYCLES EXHIBIT BENEFICIAL INFORMATION FOR PORTFOLIO MANAGEMENT? AN EMPIRICAL APPLICATION OF STATISTICAL ARBITRAGE.
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- Review of Finance & Banking, 2010, v. 2, n. 1, p. 41
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- Publication type:
- Article
A STATISTICAL ARBITRAGE TRADE BASED ON BETTING PRICE VOLATILITY.
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- Journal of Prediction Markets, 2010, v. 4, n. 1, p. 7
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- Article
International Stock Market Integration and Its Economic Determinants: A Study of Indian and World Equity Markets.
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- Vikalpa: The Journal for Decision Makers, 2007, v. 32, n. 4, p. 29, doi. 10.1177/0256090920070403
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- Article
Price discrimination and efficient matching.
- Published in:
- Economic Theory, 2007, v. 30, n. 2, p. 243, doi. 10.1007/s00199-005-0058-2
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- 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
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- Article
Liquidity risk and the hedging role of options.
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- Journal of Futures Markets, 2006, v. 26, n. 8, p. 789, doi. 10.1002/fut.20217
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- 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
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- 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
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- Publication type:
- Article