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Large-scale empirical study on pairs trading for all possible pairs of stocks listed in the first section of the Tokyo Stock Exchange
Murota, Mitsuaki; Inoue, Jun-ichi - In: Evolutionary and institutional economics review 12 (2015) 1, pp. 61-79
Persistent link: https://www.econbiz.de/10011300172
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Evaluation of forecasting methods from selected stock market returns
Mallikarjuna, M.; Rao, R. Prabhakara - In: Financial innovation : FIN 5 (2019) 40, pp. 1-16
. There are several forecasting techniques in the literature for obtaining accurate forecasts for investment decision making …
Persistent link: https://www.econbiz.de/10012268500
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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2017
Persistent link: https://www.econbiz.de/10011817412
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Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019
Persistent link: https://www.econbiz.de/10012154493
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Stock market prediction and portfolio selection models : a survey
Rather, Akhter Mohiuddin; Sastry, V. N.; Agarwal, Arun - In: Opsearch : journal of the Operational Research Society … 54 (2017) 3, pp. 558-579
Persistent link: https://www.econbiz.de/10011795824
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Co-integration in Pair Trading Strategies. Application to High-Frequency Data on American Equities
Wang, Joe - 2015
The aim of this research is to develop a profitable high frequency pair trading strategy based on selected stocks of S&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1, 2010 - Dec 31, 2012. Empirical analysis presented in...
Persistent link: https://www.econbiz.de/10013029094
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Potential gains from predicting the timing of stock market persistence and mean reversion
Hsieh, Heng-Hsing - In: Investment management and financial innovations 10 (2013) 3, pp. 55-67
Persistent link: https://www.econbiz.de/10010201509