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  • Search: subject:"statistical arbitrage"
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Year of publication
Subject
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statistical arbitrage 53 Arbitrage 31 Portfolio selection 20 Portfolio-Management 20 Theorie 18 Theory 18 pairs trading 16 Securities trading 15 Wertpapierhandel 15 Statistical arbitrage 14 cointegration 14 Finance 10 Artificial intelligence 9 Börsenkurs 9 Cointegration 9 Künstliche Intelligenz 9 Share price 9 machine learning 9 Arbitrage Pricing 8 Arbitrage pricing 8 Financial market 8 Finanzmarkt 8 Forecasting model 8 Kointegration 8 Prognoseverfahren 8 high-frequency trading 8 Electronic trading 7 Elektronisches Handelssystem 7 Pairs trading 7 finance 7 Time series analysis 6 Zeitreihenanalyse 6 high-frequency data 6 mean-reversion 6 quantitative strategies 6 Bayesian analysis 5 Capital income 5 Derivat 5 Derivative 5 Kapitaleinkommen 5
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Online availability
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Free 72 CC license 8
Type of publication
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Book / Working Paper 41 Article 31
Type of publication (narrower categories)
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Working Paper 34 Arbeitspapier 20 Graue Literatur 19 Non-commercial literature 19 Article in journal 16 Aufsatz in Zeitschrift 16 Article 11 Aufsatzsammlung 1
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Language
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English 64 Undetermined 7 Portuguese 1
Author
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Krauss, Christopher 18 Stübinger, Johannes 16 Hoogerheide, Lennart 5 Endres, Sylvia 4 Fischer, Thomas G. 4 Knoll, Julian 4 Schnaubelt, Matthias 4 Dijk, Herman K. van 3 Gatarek, Lukasz 3 Anderson, Bing 2 Ardia, David 2 Chung, Christine 2 Clegg, Matthew 2 Deinert, Alexander 2 Dionne, Georges 2 Do, Xuan Anh 2 Fabozzi, Frank J. 2 Fischer, Thomas 2 Fischer, Thomas Günter 2 Gabriel, Stefan 2 Gatarek, Lukasz T. 2 Grottke, Michael 2 Hu, Yuan 2 Huck, Nicolas 2 Kunst, Robert M. 2 Liew, Jim 2 Lindquist, W. Brent 2 Mangold, Benedikt 2 Mukerji, Purba 2 Nakajima, Tadahiro 2 Pizzutilo, Fabio 2 Poutré, Cédric 2 Račev, Svetlozar T. 2 Roberts, Ryan 2 Schneider, Lucas 2 Shirvani, Abootaleb 2 Sánchez-Granero, Miguel Ángel 2 Trinidad Segovia, Juan Evangelista 2 Waldow, Fabian 2 Walsh, Timothy 2
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Institution
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Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Finance Discipline Group, Business School 1 Henley Business School, University of Reading 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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FAU Discussion Papers in Economics 10 FAU discussion papers in economics 10 Journal of Risk and Financial Management 6 Journal of risk and financial management : JRFM 6 IWQW Discussion Papers 2 IWQW discussion paper series 2 International journal of economics and financial issues : IJEFI 2 Revista Brasileira de Finanças : RBFin 2 Risks 2 Working papers 2 Asian Economic and Financial Review 1 Business Economics Working Papers 1 CIRRELT 1 Discussion paper / Tinbergen Institute 1 Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Econometrics 1 Econometrics : open access journal 1 FFA Working Papers : FFA working paper 1 ICMA Centre Discussion Papers in Finance 1 IHS Working Paper 1 IHS working paper 1 International Journal of Economics and Financial Issues 1 International Journal of Financial Research 1 Iranian journal of finance 1 Journal of Applied Finance & Banking 1 Journal of Banking and Financial Economics (JBFE) 1 Journal of banking and financial economics 1 Journal of innovation & knowledge : JIK 1 MPRA Paper 1 Mathematical Finance 1 Research Paper Series / Finance Discipline Group, Business School 1 Research paper series / Swiss Finance Institute 1 Risks : open access journal 1 The Journal of finance and data science : JFDS 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1
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Source
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ECONIS (ZBW) 37 EconStor 26 RePEc 9
Showing 1 - 10 of 72
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Cointegrated portfolios and volatility modeling in the cryptocurrency market
Gabriel, Stefan; Kunst, Robert M. - 2024
constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market …
Persistent link: https://www.econbiz.de/10014496157
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Mean reversion trading on the naphtha crack
Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024
Persistent link: https://www.econbiz.de/10015192708
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Cointegrated portfolios and volatility modeling in the cryptocurrency market
Gabriel, Stefan; Kunst, Robert M. - 2024
constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market …
Persistent link: https://www.econbiz.de/10014495264
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Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Korniejczuk, Adam; Ślepaczuk, Robert - 2024
Persistent link: https://www.econbiz.de/10014634696
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Mean-reverting statistical arbitrage strategies in crude oil markets
Fanelli, Viviana - In: Risks : open access journal 12 (2024) 7, pp. 1-19
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading … strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage … proceeding in three steps: (1) to identify mispricings in the chosen market, (2) to test mean-reverting statistical arbitrage …
Persistent link: https://www.econbiz.de/10014637240
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Pairs trading based on Empirical Mode Decomposition (EMD)
Zarintaj, Bahareh; Aghasi, Saeed; Baktash, Forozan - In: Iranian journal of finance 7 (2023) 3, pp. 95-119
Persistent link: https://www.econbiz.de/10014429061
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Copula-based trading of cointegrated cryptocurrency pairs
Tadi, Masood; Witzany, Jiří - 2023
Persistent link: https://www.econbiz.de/10014301307
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An innovative high-frequency statistical arbitrage in Chinese futures market
He, Chengying; Wang, Tianqi; Liu, Xinwen; Huang, Ke - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-12
. Second, this research combines the theory and practice of statistical arbitrage, which also provides guiding significance for …
Persistent link: https://www.econbiz.de/10014506260
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Machine learning for cryptocurrency market prediction and trading
Jaquart, Patrick; Köpke, Sven; Weinhardt, Christof - In: The Journal of finance and data science : JFDS 8 (2022), pp. 331-352
We employ and analyze various machine learning models for daily cryptocurrency market prediction and trading. We train the models to predict binary relative daily market movements of the 100 largest cryptocurrencies. Our results show that all employed models make statistically viable...
Persistent link: https://www.econbiz.de/10014433737
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How do the lengths of the lead lag time between stocks evolve? : tick-by-tick level measurements across two decades
Anderson, Bing - In: Journal of banking and financial economics 18 (2022) 2, pp. 49-59
There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths...
Persistent link: https://www.econbiz.de/10014285876
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