Pairs trading with topological data analysis

DOI10.1142/S021902492450002XMaRDI QIDQ6492031zbMATH OpenWikidataFDO

Authors Sourav Majumdar, Arnab Kumar Laha

Publication date 24 April 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S021902492450002X

zbMATH Keywords

pairs tradingstatistical arbitragetopological data analysis

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Topological data analysis (62R40) Financial markets (91G15)

Recommendations

• Pairs trading strategy of ETF based on mixture copula
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Pairs trading
• A pairs trading strategy based on linear state space models and the Kalman filter
• scientific article; zbMATH DE number 7514018

Cites work

• A stochastic model for commodity pairs trading
• Algorithmic trading of co-integrated assets
• Computational topology for data analysis
• Computational topology. An introduction
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Existence of density functions for the running maximum of a Lévy-Itô diffusion
• Generalized statistical arbitrage concepts and related gain strategies
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1461253 (Why is no real title available?)
• Intraday pairs trading strategies on high frequency data: the case of oil companies
• Martingales, nonlinearity, and chaos
• Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
• Nonparametric Anomaly Detection on Time Series of Graphs
• Pairs trading
• Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
• Pairs trading under delayed cointegration
• Pairs trading with partial cointegration
• Practical method for determining the minimum embedding dimension of a scalar time series
• Profitability of a simple pairs trading strategy: recent evidences from a global context
• Sliding windows and persistence: an application of topological methods to signal analysis
• Stability of persistence diagrams
• Statistical arbitrage in the Black-Scholes framework
• Statistical arbitrage with vine copulas
• Topological data analysis of financial time series: landscapes of crashes
• Topological times series analysis

Cited in

(1)

• Sparse portfolio selection via topological data analysis based clustering

This page was built for publication: Pairs trading with topological data analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6492031)