Intraday pairs trading strategies on high frequency data: the case of oil companies
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1184304
Reference23 articles.
1. Conditional modeling and the jitter method of spike resampling
2. Statistical arbitrage in the US equities market
3. Pairs trading based on statistical variability of the spread process
4. High-Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution, and Patterns in Returns
5. A Limited Memory Algorithm for Bound Constrained Optimization
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