A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (Q5235460): Difference between revisions

Latest revision as of 16:20, 20 July 2024

scientific article; zbMATH DE number 7116180

Language	Label	Description	Also known as
English	A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns	scientific article; zbMATH DE number 7116180

Statements

instance of

scholarly article

0 references

title

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (English)

0 references

zbMATH Open document ID

1422.91801

0 references

DOI

10.1080/14697688.2019.1585562

0 references

0 references

0 references

0 references

11 October 2019

0 references

full work available at URL

http://hdl.handle.net/10419/178766

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

finance

0 references

pairs trading

0 references

statistical arbitrage

0 references

Markov regime switching

0 references

Lévy-driven Ornstein-Uhlenbeck process

0 references

high-frequency data

0 references

describes a project that uses

R

0 references

QuantQuote

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION

0 references

Statistical arbitrage in the US equities market

0 references

Analytic value function for optimal regime-switching pairs trading rules

0 references

A Regime-Switching Relative Value Arbitrage Rule

0 references

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

0 references

Trading co‐integrated assets with price impact

0 references

On the estimation of regime-switching Lévy models

0 references

Q3400731

0 references

Nonparametric tests for pathwise properties of semimartingales

0 references

Estimating a regime switching pairs trading model

0 references

Pairs trading

0 references

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

0 references

A stochastic model for commodity pairs trading

0 references

Autoregressive conditional heteroskedasticity and changes in regime

0 references

A Regime-Switching Model of Long-Term Stock Returns

0 references

Simulation and inference for stochastic differential equations. With R examples.

0 references

Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500

0 references

Optimal closing of a pair trade with a model containing jumps.

0 references

High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model

0 references

Model-based pairs trading in the bitcoin markets

0 references

Intraday pairs trading strategies on high frequency data: the case of oil companies

0 references

Forecasting and trading high frequency volatility on large indices

0 references

Sources of macroeconomic fluctuations: A regime-switching DSGE approach

0 references

Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

0 references

Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

0 references

Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes

0 references

On a continuous time stock price model with regime switching, delay, and threshold

0 references

Model selection for stock prices data

0 references

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

0 references

Pairs trading with a mean-reverting jump–diffusion model on high-frequency data

0 references

Statistical arbitrage with vine copulas

0 references

Dynamic pairs trading using the stochastic control approach

0 references

Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models

0 references

Risk control of mean-reversion time in statistical arbitrage

0 references

Pairs trading: optimal thresholds and profitability

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5235460

@@ Property / describes a project that uses @@
+R
@@ Property / describes a project that uses: R / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+QuantQuote
@@ Property / describes a project that uses: QuantQuote / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2904952714
@@ Property / OpenAlex ID: W2904952714 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5495335
@@ Property / cites work: Q5495335 / rank @@
+Normal rank
@@ Property / cites work @@
+PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage in the US equities market
@@ Property / cites work: Statistical arbitrage in the US equities market / rank @@
+Normal rank
@@ Property / cites work @@
+Analytic value function for optimal regime-switching pairs trading rules
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Relative Value Arbitrage Rule
@@ Property / cites work: A Regime-Switching Relative Value Arbitrage Rule / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
+Normal rank
@@ Property / cites work @@
+Trading co‐integrated assets with price impact
@@ Property / cites work: Trading co‐integrated assets with price impact / rank @@
+Normal rank
@@ Property / cites work @@
+On the estimation of regime-switching Lévy models
+Normal rank
@@ Property / cites work @@
+Q3400731
@@ Property / cites work: Q3400731 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+Estimating a regime switching pairs trading model
@@ Property / cites work: Estimating a regime switching pairs trading model / rank @@
+Normal rank
@@ Property / cites work @@
+Pairs trading
@@ Property / cites work: Pairs trading / rank @@
+Normal rank
@@ Property / cites work @@
+A flexible regime switching model with pairs trading application to the S&amp;P 500 high-frequency stock returns
+Normal rank
@@ Property / cites work @@
+A stochastic model for commodity pairs trading
@@ Property / cites work: A stochastic model for commodity pairs trading / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+Simulation and inference for stochastic differential equations. With R examples.
+Normal rank
@@ Property / cites work @@
+Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&amp;P 500
+Normal rank
@@ Property / cites work @@
+Optimal closing of a pair trade with a model containing jumps.
+Normal rank
@@ Property / cites work @@
+High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
+Normal rank
@@ Property / cites work @@
+Model-based pairs trading in the bitcoin markets
@@ Property / cites work: Model-based pairs trading in the bitcoin markets / rank @@
+Normal rank
@@ Property / cites work @@
+Intraday pairs trading strategies on high frequency data: the case of oil companies
+Normal rank
@@ Property / cites work @@
+Forecasting and trading high frequency volatility on large indices
+Normal rank
@@ Property / cites work @@
+Sources of macroeconomic fluctuations: A regime-switching DSGE approach
+Normal rank
@@ Property / cites work @@
+Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+On a continuous time stock price model with regime switching, delay, and threshold
+Normal rank
@@ Property / cites work @@
+Model selection for stock prices data
@@ Property / cites work: Model selection for stock prices data / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage with optimal causal paths on high-frequency data of the S&amp;P 500
+Normal rank
@@ Property / cites work @@
+Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage with vine copulas
@@ Property / cites work: Statistical arbitrage with vine copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic pairs trading using the stochastic control approach
+Normal rank
@@ Property / cites work @@
+Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
+Normal rank
@@ Property / cites work @@
+Risk control of mean-reversion time in statistical arbitrage
+Normal rank
@@ Property / cites work @@
+Pairs trading: optimal thresholds and profitability
+Normal rank