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Pairs trading with a mean-reverting jump-diffusion model on high-frequency data

Stübinger, Johannes; Endres, Sylvia - 2017

-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform …

Persistent link: https://www.econbiz.de/10011640333

Pairs trading with a mean-reverting jump-diffusion model on high-frequency data

Stübinger, Johannes; Endres, Sylvia - In: Quantitative finance 18 (2018) 10, pp. 1735-1751

Persistent link: https://www.econbiz.de/10012261908

Pairs trading with fractional Ornstein-Uhlenbeck spread model

Xiang, Yun; Zhao, Yonghong; Deng, Shijie - In: Applied economics 55 (2023) 23, pp. 2607-2623

Persistent link: https://www.econbiz.de/10014295156

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Endres, Sylvia; Stübinger, Johannes - 2018

This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...

Persistent link: https://www.econbiz.de/10011845691