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Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500

Stübinger, Johannes - 2018

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

Persistent link: https://www.econbiz.de/10011781705

Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500

Stübinger, Johannes - 2018

Persistent link: https://www.econbiz.de/10011784949

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

High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach

Miao, George J. - In: International journal of economics and finance 6 (2014) 3, pp. 96-110

Persistent link: https://www.econbiz.de/10010339601

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

Solvability of differential riccati equations and applications to algorithmic trading with signals

Drissi, Fayçal - In: Applied mathematical finance 29 (2022) 6, pp. 457-493

Persistent link: https://www.econbiz.de/10014390281

Are cryptocurrencies cryptic or a source of arbitrage? : a genetic algorithm approach

Bewaji, Oluwasegun; Hamid, Sania; Aerts, Timothy; Byck, … - In: The journal of financial market infrastructures 11 (2023) 1, pp. 37-65

Persistent link: https://www.econbiz.de/10014484591

High-frequency pairs trading on a small stock exchange

Mikkelsen, Andreas; Kjærland, Frode - In: International journal of economics and financial issues … 8 (2018) 4, pp. 78-88

Persistent link: https://www.econbiz.de/10011979366

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