Pairs trading with wavelet transform

DOI10.1080/14697688.2023.2230249MaRDI QIDQ6053125zbMATH OpenOpenAlexFDO

Authors Burak Alparslan Eroğlu, Haluk Yener, Taner Yigit

Publication date 25 September 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2230249

zbMATH Keywords

cointegration methodminimum distance methodpairs tradingstatistical arbitragewavelet transform

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A new wavelet-based denoising algorithm for high-frequency financial data mining
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A theory for multiresolution signal decomposition: the wavelet representation
• An Intertemporal Capital Asset Pricing Model
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Common risk factors in the returns on stocks and bonds
• Empirical properties of asset returns: stylized facts and statistical issues
• Enhancing the predictability of crude oil markets with hybrid wavelet approaches
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Long-run wavelet-based correlation for financial time series
• Pairs trading with partial cointegration
• Revealing pairs-trading opportunities with long short-term memory networks
• Statistical analysis of cointegration vectors
• Statistical arbitrage in the US equities market
• Statistical arbitrage with vine copulas
• UNIT ROOT TESTS WITH WAVELETS
• Wavelets and filter banks

Cited in

(1)

• A Bayesian approach to generating distribution-based signals in pairs trading

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