Pairs trading based on statistical variability of the spread process

DOI10.1080/14697688.2012.748934MaRDI QIDQ5397471zbMATH OpenOpenAlexFDO

Authors Timofei Bogomolov

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.748934

zbMATH Keywords

arbitrage relationshipquantitative trading strategiesstatistical methodstrading strategies

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Trade models (91B60) Statistical methods; risk measures (91G70)

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Cites work

• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• A regime-switching relative value arbitrage rule
• Basic properties of strong mixing conditions. A survey and some open questions
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Martingales and first passage times of AR(1) sequences
• Maximal inequalities for the Ornstein-Uhlenbeck process
• On Some Probabilistic-Statistical Methods in Technical Analysis
• On Strong Mixing Conditions for Stationary Gaussian Processes
• Pairs trading
• PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
• Recombining Binomial Tree Approximations for Diffusions

Cited in

(12)

• 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
• Revealing pairs-trading opportunities with long short-term memory networks
• A stochastic model for commodity pairs trading
• Pairs trading with partial cointegration
• Intraday pairs trading strategies on high frequency data: the case of oil companies
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• On some properties of Kagi and Renko trading strategies for Brownian motion
• Pairs trading with partial cointegration
• scientific article; zbMATH DE number 7514018 (Why is no real title available?)
• Pairs trading with wavelet transform
• A hybrid convolutional neural network with long short-term memory for statistical arbitrage

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