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Nonlinear modelling of high frequency financial time series

Dunis, Christian (ed.); Zhou, Bin (contributor) - 1998

Persistent link: https://www.econbiz.de/10013491172

Nonlinear forecasting of the Gold Miner Spread : an application of correlations filters

Dunis, Christian; Laws, Jason; Middleton, Peter W.; … - In: Intelligent systems in accounting finance and … 20 (2013) 4, pp. 207-231

Persistent link: https://www.econbiz.de/10010233196

Volatility filters for FX portfolios trading : the impact of alternative volatility models

Miao, Jianjun; Dunis, Christian - In: Applied financial economics letters 2 (2006) 6, pp. 389-394

Persistent link: https://www.econbiz.de/10003397275

The economic value of advanced time series methods for modelling and trading 10-year government bonds

Dunis, Christian; Morrison, Vincent - In: The European journal of finance 13 (2007) 3/4, pp. 333-352

Persistent link: https://www.econbiz.de/10003550391

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Rudy, Jozef - 2013

The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data...

Persistent link: https://www.econbiz.de/10013081228