Search Results - subject:"statistical arbitrage"

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

Mean reversion trading on the naphtha crack

Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024

Persistent link: https://www.econbiz.de/10015192708

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

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

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

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

Copula-based trading of cointegrated cryptocurrency pairs

Tadi, Masood; Witzany, Jiří - 2023

Persistent link: https://www.econbiz.de/10014301307

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

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

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