Pairs trading via unsupervised learning

DOI10.1016/J.EJOR.2022.09.041MaRDI QIDQ6109847zbMATH OpenFDO

Authors Chulwoo Han, Zhaodong He, Alenson Jun Wei Toh

Publication date 4 July 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2022.09.041

zbMATH Keywords

clusteringfinancepairs tradingunsupervised learning

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Deep learning with long short-term memory networks for financial market predictions
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Hierarchical clustering schemes
• scientific article; zbMATH DE number 2080487 (Why is no real title available?)
• scientific article; zbMATH DE number 2088118 (Why is no real title available?)
• scientific article; zbMATH DE number 3340881 (Why is no real title available?)
• Large data sets and machine learning: applications to statistical arbitrage
• Pairs trading
• Pairs trading with partial cointegration
• Statistical arbitrage in the US equities market

Cited in

(1)

• Pre-selection in cointegration-based pairs trading

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