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Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and … existing quantitative strategies from the same research area and found its performance superior in a multitude of risk …

Persistent link: https://www.econbiz.de/10012022240

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

Stübinger, Johannes; Endres, Sylvia - 2017

-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform … distance and time-series approaches and find its performance to be superior relating to risk-return characteristics. The mean …

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 …

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

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

Stübinger, Johannes - 2018

playing a role in management, and the implications of the partnership form for projects subject to hold-up. …

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

Financial market predictions with Factorization Machines : trading the opening hour based on overnight social media data

Stübinger, Johannes; Walter, Dominik; Knoll, Julian - 2017

This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high …

Persistent link: https://www.econbiz.de/10011741411

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

Essays on quantitative finance in the context of statistical arbitrage

Stübinger, Johannes - 2018

Persistent link: https://www.econbiz.de/10011861534

Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100

Krauss, Christopher; Stübinger, Johannes - In: Applied economics 49 (2017) 52, pp. 5352-5369

Persistent link: https://www.econbiz.de/10011845139

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

Endres, Sylvia; Stübinger, Johannes - 2018

demonstrate its performance in a simulation study - the algorithm achieves promising results for the general class of Lévy …

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

Non-linear dependence modeling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100

Krauss, Christopher; Stübinger, Johannes - In: Essays on quantitative finance in the context of …, (pp. 11-45). 2018

Persistent link: https://www.econbiz.de/10011901803