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Subject
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Quantitative trading strategies 6 Theorie 4 Theory 4 quantitative trading strategies 4 Portfolio selection 3 Portfolio-Management 3 Securities trading 3 Wertpapierhandel 3 leverage 3 Algorithm 2 Algorithmus 2 Anlageverhalten 2 Behavioural finance 2 Derivat 2 Derivative 2 Evolutionary algorithm 2 Evolutionärer Algorithmus 2 Financial market 2 Finanzmarkt 2 Finanzmathematik 2 Mathematical finance 2 Mathematical programming 2 Mathematische Optimierung 2 Option pricing theory 2 Optionspreistheorie 2 Risk management 2 confirmation filters 2 evolutionary algorithms 2 genetic programming 2 Adaptive Radial Basis Function 1 Alternative investments 1 Applied mathematical finance 1 Arbitrage 1 Arbitrage relationship 1 Außenwirtschaftspolitik 1 CAPM 1 Cointegration 1 Correlation modelling 1 Dynamic Analysis 1 Erwartungsbildung 1
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Undetermined 8
Type of publication
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Article 10
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6
Language
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English 6 Undetermined 4
Author
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Dunis, Christian 5 Laws, Jason 4 Sermpinis, Georgios 4 Karathanasopoulos, Andreas 2 Asensio, Ivan Oscar 1 Avellaneda, Marco 1 Bellani, Claudio 1 Bradrania, Reza 1 Brigo, Damiano 1 Chan, Raymond H. 1 Elliott, Robert J. 1 Georgopoulos, Efstratios F. 1 Karatahansopoulos, Andreas 1 Lee, Jeong-Hyun 1 Ma, Alfred Ka Chun 1 Theofilatos, Konstantinos 1 Yeung, Lanston Lane-Chun 1
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Published in...
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Quantitative finance 3 Quantitative Finance 2 European Journal of Operational Research 1 Journal of forecasting 1 The European Journal of Finance 1 The European journal of finance 1 The journal of investment strategies 1
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Source
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ECONIS (ZBW) 6 RePEc 4
Showing 1 - 10 of 10
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Mechanics of good trade execution in the framework of linear temporary market impact
Bellani, Claudio; Brigo, Damiano - In: Quantitative finance 21 (2021) 1, pp. 143-163
Persistent link: https://www.econbiz.de/10012424640
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VIX futures term structure and the expectations hypothesis
Asensio, Ivan Oscar - In: Quantitative finance 20 (2020) 4, pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
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Estimating a regime switching pairs trading model
Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883
Persistent link: https://www.econbiz.de/10011907956
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An uncertainty quantification framework for the achievability of backtesting results of trading strategies
Chan, Raymond H.; Ma, Alfred Ka Chun; Yeung, Lanston … - In: The journal of investment strategies 6 (2017) 4, pp. 21-46
Persistent link: https://www.econbiz.de/10011771278
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Modelling and trading the greek stock market with gene expression and genetic programing algorithms
Karatahansopoulos, Andreas; Sermpinis, Georgios; Laws, Jason - In: Journal of forecasting 33 (2014) 8, pp. 596-610
Persistent link: https://www.econbiz.de/10011282849
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Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization
Sermpinis, Georgios; Theofilatos, Konstantinos; … - In: European Journal of Operational Research 225 (2013) 3, pp. 528-540
The motivation for this paper is to introduce a hybrid neural network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF–PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a neural network...
Persistent link: https://www.econbiz.de/10011052637
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GP algorithm versus hybrid and mixed neural networks
Dunis, Christian; Laws, Jason; Karathanasopoulos, Andreas - In: The European journal of finance 19 (2013) 3/4, pp. 180-205
Persistent link: https://www.econbiz.de/10010243660
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Higher order and recurrent neural architectures for trading the EUR/USD exchange rate
Dunis, Christian; Laws, Jason; Sermpinis, Georgios - In: Quantitative Finance 11 (2010) 4, pp. 615-629
The motivation for this paper is to investigate the use of alternative novel neural network architectures when applied to the task of forecasting and trading the Euro/Dollar (EUR/USD) exchange rate. This is done by benchmarking three different neural network designs representing a Higher Order...
Persistent link: https://www.econbiz.de/10009214943
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Modelling and trading the EUR/USD exchange rate at the ECB fixing
Dunis, Christian; Laws, Jason; Sermpinis, Georgios - In: The European Journal of Finance 16 (2010) 6, pp. 541-560
The motivation for this paper is to investigate the use of alternative novel neural network (NN) architectures when applied to the task of forecasting and trading the euro/dollar (EUR/USD) exchange rate, using the European Central Bank (ECB) fixing series with only auto-regressive terms as...
Persistent link: https://www.econbiz.de/10008674477
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Statistical arbitrage in the US equities market
Avellaneda, Marco; Lee, Jeong-Hyun - In: Quantitative Finance 10 (2010) 7, pp. 761-782
We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing stock returns on sector Exchange Traded Funds (ETFs). In both cases, the idiosyncratic returns are modelled as mean-reverting processes,...
Persistent link: https://www.econbiz.de/10008675026
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