Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500
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Publication:5234313
DOI10.1080/14697688.2018.1521002zbMath1420.91548OpenAlexW2745188987MaRDI QIDQ5234313
Julian Knoll, Michael Grottke, Johannes Stübinger
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/162392
Learning and adaptive systems in artificial intelligence (68T05) Actuarial science and mathematical finance (91G99)
Related Items (7)
Separating the signal from the noise -- financial machine learning for Twitter ⋮ Statistical arbitrage: factor investing approach ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Statistical arbitrage with vine copulas ⋮ Fuzzy factorization machine ⋮ Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Uses Software
Cites Work
- Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
- Statistical arbitrage in the US equities market
- Modeling default risk with support vector machines
- Intraday pairs trading strategies on high frequency data: the case of oil companies
- Modelling high-frequency limit order book dynamics with support vector machines
- Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
- Statistical arbitrage with vine copulas
- Online portfolio selection
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