Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500

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

zbMATH Keywords

financemachine learninghigh-frequency tradingsocial mediastatistical arbitragefactorization machine

Mathematics Subject Classification ID

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

• R
• tm
• PerformanceAnalytics
• TTR
• xts
• QuantQuote

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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