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Krauss, Christopher - 2016

Persistent link: https://www.econbiz.de/10011499659

Statistical arbitrage in cryptocurrency markets

Fischer, Thomas Günter; Krauss, Christopher; Deinert, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/31, pp. 1-15

arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013 …); Moritz and Zimmermann (2014); Krauss et al. (2017). With our paper, we pose the question how such a statistical arbitrage …-strong from of market efficiency, we critically discuss it in light of limits to arbitrage, focusing on total volume constraints …

Persistent link: https://www.econbiz.de/10012022334

Statistical arbitrage pairs trading strategies : review and outlook

Krauss, Christopher - In: Journal of economic surveys 31 (2017) 2, pp. 513-545

Persistent link: https://www.econbiz.de/10011757532

Deep learning with long short-term memory networks for financial market predictions

Fischer, Thomas; Krauss, Christopher - 2017

Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence learning. They are less commonly applied to financial time series predictions, yet inherently suitable for this domain. We deploy LSTM networks for predicting out-of-sample directional movements for the...

Persistent link: https://www.econbiz.de/10011644167

Deep neural networks, gradient-boosted trees, random forests : statistical arbitrage on the S&P 500

Krauss, Christopher; Do, Xuan Anh; Huck, Nicolas - In: European journal of operational research : EJOR 259 (2017) 2, pp. 689-702

Persistent link: https://www.econbiz.de/10011661795

Statistical arbitrage with vine copulas

Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - 2016

We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for …

Persistent link: https://www.econbiz.de/10011549742

Deep learning with long short-term memory networks for financial market predictions

Fischer, Thomas; Krauss, Christopher - In: European journal of operational research : EJOR 270 (2018) 2, pp. 654-669

Persistent link: https://www.econbiz.de/10011869420

Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100

Krauss, Christopher; Stübinger, Johannes - In: Applied economics 49 (2017) 52, pp. 5352-5369

Persistent link: https://www.econbiz.de/10011845139

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

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