price patterns based on historical stock prices. An interval constraint-based trading strategy is constructed. Using data … forecasting. Second, the interval constraint-based trading strategy based on the proposed approach can efectively enhance returns …

In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading … strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage …

trading strategy is of hyperbolic form if the feedback effect of current trading on future order flow is not too strong. If … increases, our strategy provides increasingly better performance than the commonly adopted trading strategy. The empirical …

trading strategy is of hyperbolic form if the feedback effect of current trading on future order flow is not too strong. If … increases, our strategy provides increasingly better performance than the commonly adopted trading strategy. The empirical …