Pairs trading
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(77)- High-frequency stock linkage and multi-dimensional stationary processes
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- Costly arbitrage through pairs trading
- Firm value and the impact of operational management
- Dynamic pairs trading using the stochastic control approach
- Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market
- Systematic risk in pairs trading and dynamic parameterization
- Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
- Statistical arbitrage in jump-diffusion models with compound Poisson processes
- Statistical arbitrage for multiple co-integrated stocks
- Optimal pairs trading with dynamic mean-variance objective
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
- Long memory and crude oil's price predictability
- Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
- Optimal mean-reverting spread trading: nonlinear integral equation approach
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- Stationary density function for a random evolution driven by a Markov-switching Ornstein-Uhlenbeck process with finite velocity
- Bertram's pairs trading strategy with bounded risk
- Optimal pairs trading strategies: a stochastic mean-variance approach
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- Profitability of a simple pairs trading strategy: recent evidences from a global context
- Basket trading under co-integration with the logistic mixture autoregressive model
- A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
- Pairs trading strategy of ETF based on mixture copula
- Optimal closing of a pair trade with a model containing jumps.
- A pairs trading strategy based on linear state space models and the Kalman filter
- Dynamic mode decomposition for financial trading strategies
- A stochastic model for commodity pairs trading
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Pairs trading with partial cointegration
- Analytic value function for optimal regime-switching pairs trading rules
- Estimating a regime switching pairs trading model
- Intraday pairs trading strategies on high frequency data: the case of oil companies
- Forecasting trends with asset prices
- Pairs trading under drift uncertainty and risk penalization
- Mean reversion trading with sequential deadlines and transaction costs
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Data-driven methods for equity similarity prediction
- Statistical arbitrage in the Black-Scholes framework
- Time series regression on integrated continuous-time processes with heavy and light tails
- Detecting mean-reverted patterns in algorithmic pairs trading
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Pairs trading with partial cointegration
- Pairs trading: an optimal selling rule under a regime switching model
- Robust statistical arbitrage strategies
- Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
- Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
- Pairs trading under geometric Brownian motion models
- scientific article; zbMATH DE number 7514018 (Why is no real title available?)
- Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- Pairs trading: optimal thresholds and profitability
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- A regime-switching relative value arbitrage rule
- Pairs trading based on statistical variability of the spread process
- Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique
- Pairs trading with opportunity cost
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
- Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes
- Pairs trading with wavelet transform
- Generalized statistical arbitrage concepts and related gain strategies
- On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers
- Pairs trading via unsupervised learning
- A hybrid convolutional neural network with long short-term memory for statistical arbitrage
- Optimal pairs trading of mean-reverting processes over multiple assets
- Statistical arbitrage: factor investing approach
- Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
- Pairs trading with topological data analysis
- A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations
- Detecting data-driven robust statistical arbitrage strategies with deep neural networks
- Pairs trading with costly short-selling
- Finding moving-band statistical arbitrages via convex-concave optimization
- Caged Markov process -- a continuous-time framework for modeling a constrained Markov process within a freely-evolving Markov process
- A multi-objective pair trading strategy: integrating neural networks and cyclical insights for optimal trading performance
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