Intraday high-frequency pairs trading strategies for energy futures : evidence from China
Year of publication: |
2023
|
---|---|
Authors: | Luo, Jing ; Lin, Yucheng ; Wang, Sijia |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 56, p. 6646-6660
|
Subject: | Chinese energy futures | high-frequency trading | Markov regime switching | Ornstein-Uhlenbeck process | pairs trading | China | Elektronisches Handelssystem | Electronic trading | Rohstoffderivat | Commodity derivative | Markov-Kette | Markov chain | Volatilität | Volatility | Hedging | Kapitaleinkommen | Capital income |
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