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Statistical arbitrage with vine copulas

Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Quantitative finance 18 (2018) 11, pp. 1831-1849

Persistent link: https://www.econbiz.de/10012262849

Cointegration-based trading : evidence on index tracking & market-neutral strategies

Papantonis, Ioannis - In: Managerial finance 42 (2016) 5, pp. 449-471

Persistent link: https://www.econbiz.de/10011570282

A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance

Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155

Persistent link: https://www.econbiz.de/10011634338

Statistical arbitrage in the multi-asset Black-Scholes economy

Göncü, Ahmet; Akyildirim, Erdinc - In: Annals of financial economics 12 (2017) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011716058

Applications of simulation-based methods in finance : the use of ModelRisk software

Habibi, Hamed; Habibi, Reza - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 82-89

Persistent link: https://www.econbiz.de/10011720964

Optimal pairs trading with time-varying volatility

Li, Thomas Nanfeng; Tourin, Agnès - In: International journal of financial engineering 3 (2016) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011588167

Deep learning with long short-term memory networks for financial market predictions

Fischer, Thomas; Krauss, Christopher - 2017

Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence learning. They are less commonly applied to financial time series predictions, yet inherently suitable for this domain. We deploy LSTM networks for predicting out-of-sample directional movements for the...

Persistent link: https://www.econbiz.de/10011644167

Large data sets and machine learning : applications to statistical arbitrage

Huck, Nicolas - In: European journal of operational research : EJOR 278 (2019) 1, pp. 330-342

Persistent link: https://www.econbiz.de/10012102616

Altcoin-Bitcoin arbitrage

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 6 (2019) 1, pp. 87-110

Persistent link: https://www.econbiz.de/10012020368

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