Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Year of publication: |
2019
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Authors: | Stübinger, Johannes |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 6, p. 921-935
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Subject: | Cryptocurrency | Finance | High-frequency trading | Lead-lag structure | Optimal causal path | Statistical arbitrage | Arbitrage | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Kausalanalyse | Causality analysis | Statistische Methode | Statistical method |
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