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(8)- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- stats
- PerformanceAnalytics
- TTR
- SparseDTW
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
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