Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading (Q4922846): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Pairs trading / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: State-space recursive least-squares with adaptive memory / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Dynamic modeling of mean-reverting spreads for statistical arbitrage / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Trading a mean-reverting asset: buy low and sell high / rank | |||
Normal rank | |||
Latest revision as of 12:25, 6 July 2024
scientific article; zbMATH DE number 6170284
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading |
scientific article; zbMATH DE number 6170284 |
Statements
Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading (English)
0 references
4 June 2013
0 references
statistical arbitrage
0 references
mean-reversion
0 references
market-neutral
0 references
trading
0 references
recursive least squares
0 references
variable forgetting factor
0 references
adaptive filtering
0 references
