He, Chengying; Wang, Tianqi; Liu, Xinwen; Huang, Ke - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-12
attention. The aim of this paper is to establish an innovative and unique pairs trading framework, and use it to test the … effectiveness of China's futures market. The framework for pairs trading is based on cointegration test, Kalman filter and Hurst … evaluate the performance of the strategy and compare it with the benchmark model. This study found that, according to the pairs …