A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies-Reference-Cited by-同舟云学术

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A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies

Published:2022-06 Issue: Volume: Page:
ISSN:
Container-title:2022 IEEE 46th Annual Computers, Software, and Applications Conference (COMPSAC)
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Author:

Liang You¹,Thavaneswaran Aerambamoorthy²,Paseka Alex³,Qiao Wei¹,Ghahramani Melody⁴,Bowala Sulalitha²

Affiliation:

1. Toronto Metropolitan University,Department of Mathematics,Toronto,Canada

2. University of Manitoba,Department of Statistics,Winnipeg,Canada

3. University of Manitoba,Department of Accounting and Finance,Winnipeg,Canada

4. University of Winnipeg,Department of Mathematics and Statistics,Winnipeg,Canada

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/9842455/9842394/09842512.pdf?arnumber=9842512

Reference14 articles.

1. A Novel Algorithmic Trading Strategy Using Data-Driven Innovation Volatility

2. Generalized value at risk forecasting

3. Nonnormal filtering via esti-mating functions;thavaneswaran;Advances on Theoretical and Methodological A spects of Probability and Statistics,2002

4. Hybrid Deep Reinforcement Learning for Pairs Trading

5. Revealing Pairs-trading opportunities with long short-term memory networks

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Cryptocurrency Multiple Trading Strategy with Kalman Filter Innovation Volatility Interval Forecasts;2024 IEEE 48th Annual Computers, Software, and Applications Conference (COMPSAC);2024-07-02

2. Pairs trading in cryptocurrency markets: A comparative study of statistical methods;Investment Analysts Journal;2023-12-02

3. Comparison of Trading Strategies: Dual Momentum vs Pairs Trading;2023 IEEE 47th Annual Computers, Software, and Applications Conference (COMPSAC);2023-06

4. A Novel Fading-Memory Filter Multiple Trading Strategy with Data-Driven Innovation Volatility;2023 IEEE 47th Annual Computers, Software, and Applications Conference (COMPSAC);2023-06

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