Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading
Tian-Shyr Dai, Yi-Jen Luo, Hao-Han Chang, Chu-Lan Kao, Kuan-Lun Wang, Liang-Chih Liu
| Year of publication: |
2024
|
|---|---|
| Authors: | Dai, Tian-Shyr ; Luo, Yi-Jen ; Chang, Hao-Han ; Kao, Chu-Lan ; Wang, Kuan-Lun ; Liu, Liang-Chih |
| Subject: | Asymptotic mean crossing rate filter | Cointegration | High-frequency | Pairs trading | Trend-stationary | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Kointegration | Wertpapierhandel | Securities trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-024-01293-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015178520