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Search: subject:"linear normalization"
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Bayesian analysis
5
cointegration
5
linear normalization
5
orthogonal normalization
5
pairs trading
5
statistical arbitrage
5
Arbitrage
2
Bayes-Statistik
2
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Extreme value distributions
1
Linear normalization
1
Max domains of attraction
1
Max stable laws
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Mixtures
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Power normalization
1
p-max stable laws
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Hoogerheide, Lennart
5
Dijk, Herman K. van
3
Gatarek, Lukasz
3
Ardia, David
2
Gatarek, Lukasz T.
2
van Dijk, Herman K.
2
Ravi, S.
1
Sreehari, M.
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ECONIS (ZBW)
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EconStor
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David
;
Gatarek, Lukasz T.
;
Hoogerheide, Lennart
; …
- In:
Econometrics
4
(
2016
)
1
,
pp. 1-19
in terms of profit per capital engagement and risk than using a standard
linear
normalization
. …
Persistent link: https://www.econbiz.de/10011755321
Saved in:
2
Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David
;
Gatarek, Lukasz T.
;
Hoogerheide, Lennart
; …
- In:
Econometrics : open access journal
4
(
2016
)
1
,
pp. 1-19
in terms of profit per capital engagement and risk than using a standard
linear
normalization
. …
Persistent link: https://www.econbiz.de/10011505854
Saved in:
3
Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz
;
Hoogerheide, Lennart
;
van Dijk, Herman K.
-
2014
terms of profit per capital engagement and risk than using a standard
linear
normalization
…
Persistent link: https://www.econbiz.de/10010377207
Saved in:
4
Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz
;
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
2014
better results in terms of profit per capital engagement and risk than using a standard
linear
normalization
. …
Persistent link: https://www.econbiz.de/10011272592
Saved in:
5
Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz
;
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
2014
terms of profit per capital engagement and risk than using a standard
linear
normalization
…
Persistent link: https://www.econbiz.de/10010259626
Saved in:
6
On extremes of mixtures of distributions
Sreehari, M.
;
Ravi, S.
- In:
Metrika
71
(
2010
)
1
,
pp. 117-123
Persistent link: https://www.econbiz.de/10008467020
Saved in:
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