Applying hurst exponent in pair trading strategies
Year of publication: |
2020
|
---|---|
Authors: | Quynh Bui ; Ślepaczuk, Robert |
Publisher: |
Warsaw : University of Warsaw, Faculty of Economic Sciences |
Subject: | generalized Hurst & Hurst exponent | algorithmic trading strategies | portfolio choice | mean-reversion strategy | pair trading | correlation & cointegration trading | efficient market hypothesis | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Theorie | Theory | Effizienzmarkthypothese | Efficient market hypothesis | Wertpapierhandel | Securities trading | Finanzanalyse | Financial analysis | Korrelation | Correlation | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Elektronisches Handelssystem | Electronic trading |
-
Ma, Baiquan, (2022)
-
Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut, (2024)
-
Sampling frequency and the performance of different types of technical trading rules
Hudson, Robert, (2017)
- More ...
-
Vietnam tourism at the crossroads of socialism and market economy
Bui, Thanh Huong, (2024)
-
Investment strategies that beat the market: What can we squeeze from the market?
Ślepaczuk, Robert, (2018)
-
Sakowski, Paweł, (2016)
- More ...