Narrow search
Showing 1 - 5 of 5
Cover Image
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes; Endres, Sylvia - In: Quantitative finance 18 (2018) 10, pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
Cover Image
Statistical arbitrage with vine copulas
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Quantitative finance 18 (2018) 11, pp. 1831-1849
Persistent link: https://www.econbiz.de/10012262849
Cover Image
Exploiting social media with higher-order Factorization Machines : statistical arbitrage on high-frequency data of the S&P 500
Knoll, Julian; Stübinger, Johannes; Grottke, Michael - In: Quantitative finance 19 (2019) 4, pp. 571-585
Persistent link: https://www.econbiz.de/10012194697
Cover Image
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Stübinger, Johannes - In: Quantitative finance 19 (2019) 6, pp. 921-935
Persistent link: https://www.econbiz.de/10012194730
Cover Image
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819