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The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article, we perform a sensitivity analysis of the...
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In dieser Arbeit wird eine algorithmische Anlagestrategie untersucht, die auf paarweise kointegrierten Assets basiert. Das Kernstück solcher Strategien bildet das Auffinden von handelbaren Linearkombinationen aus mindestens zwei Assets. Ein intuitiver Ansatz, um solche Linearkombinationen...
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&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1 …
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virtually risk-free profits, Trading the China Market with American Depository Receipts teaches readers how to successfully … trading made possible by interpreting business news to buy or short China ADRs before the information impacts those m …
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