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Pairs trading with a mean-reverting jump-diffusion model on high-frequency data

Stübinger, Johannes; Endres, Sylvia - 2017

This paper develops a pairs trading framework based on a mean-reverting jump-diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially,...

Persistent link: https://www.econbiz.de/10011640333

Statistical arbitrage with vine copulas

Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - 2016

We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant returns of 9.25 percent p.a. and...

Persistent link: https://www.econbiz.de/10011549742

Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500

Stübinger, Johannes - 2018

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

Persistent link: https://www.econbiz.de/10011781705

Recent developments in public finance

Tanzi, Vito - 2011

finance. The two-volume set encompasses numerous sections including the public sector in a market economy, market …, Real Tax Revenue, and the Case for Inflationary Finance: Theory with an Application to Argentina', International Monetary …- Intertemporal Approach, Chapters 1, 2, 3 and 4, Princeton, NJ: International Finance Section, Department of Economics, Princeton …

Persistent link: https://www.econbiz.de/10011852288

Statistical arbitrage pairs trading with high-frequency data

Stübinger, Johannes; Bredthauer, Jens - In: International journal of economics and financial issues … 7 (2017) 4, pp. 650-662

Persistent link: https://www.econbiz.de/10011833680

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Endres, Sylvia; Stübinger, Johannes - 2018

This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...

Persistent link: https://www.econbiz.de/10011845691