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Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Stübinger, Johannes - In: Essays on quantitative finance in the context of …, (pp. 167-201). 2018
Persistent link: https://www.econbiz.de/10011901817
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Non-linear dependence modeling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100
Krauss, Christopher; Stübinger, Johannes - In: Essays on quantitative finance in the context of …, (pp. 11-45). 2018
Persistent link: https://www.econbiz.de/10011901803
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Statistical arbitrage with vine copulas
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Essays on quantitative finance in the context of …, (pp. 47-88). 2018
Persistent link: https://www.econbiz.de/10011901806
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Statistical arbitrage pairs trading with high-frequency data
Stübinger, Johannes; Bredthauer, Jens - In: Essays on quantitative finance in the context of …, (pp. 89-124). 2018
Persistent link: https://www.econbiz.de/10011901814
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Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes; Endres, Sylvia - In: Essays on quantitative finance in the context of …, (pp. 125-165). 2018
Persistent link: https://www.econbiz.de/10011901815