Multi-asset pair-trading strategy: A statistical learning approach
Author:
Funder
Feng Chia University
Ministry of Science and Technology, Taiwan
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference19 articles.
1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
2. High-frequency equity pairs trading: Transaction costs, speed of execution, and patterns in returns;Bowen;The Journal of Trading,2010
3. Pairs trading via three-regime threshold autoregressive GARCH models;Chen;Modeling Dependence in Econometrics,2014
4. Nonparametric tolerance limits for pair trading;Chen;Finance Research Letters,2017
5. Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting;Chen;Journal of Risk Model Validation,2019
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