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Pairs trading : does volatility timing matter?
Huck, Nicolas - In: Applied economics 47 (2015) 55/57, pp. 6239-6256
Persistent link: https://www.econbiz.de/10011381294
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Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders
Charles-Cadogan, G. - 2018
reported for experienced traders, hedge funds multistrategy, convertible option arbitrage, and fund of fund strategies. Thus …
Persistent link: https://www.econbiz.de/10012937216
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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage … arbitrage appears to lead to significant deviation from fundamentals. Our results can facilitate market oversight and provide …
Persistent link: https://www.econbiz.de/10012022150
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Informational inefficiency of Bitcoin : a study based on high-frequency data
Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353
Persistent link: https://www.econbiz.de/10012135746
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Reversing momentum : the optimal dynamic momentum strategy
Li, Kai; Liu, Jun - 2016
Persistent link: https://www.econbiz.de/10011777992
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A note on the effectiveness of Pairs trading for individual investors
Pizzutilo, Fabio - In: International journal of economics and financial issues … 3 (2013) 3, pp. 763-771
Persistent link: https://www.econbiz.de/10010519388
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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
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Momentum strategy and credit risk
Lu, Su-lien; Lee, Kuo-jung; Yu, Chia-chang - In: Applied financial economics 24 (2014) 10/12, pp. 753-762
Persistent link: https://www.econbiz.de/10010402585