SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach
16 references·6 citing·32 second hop
High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach (2014)High Frequency and Dynamic Pairs Trading …Cointegration and error correction (2013)Cointegration and error corre…High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (2009)High-Frequency Trading: A Pra…Statistical Arbitrage in the U.S. Equities Market (2008)Statistical Arbitrage in the …Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Pairs trading (2005)Pairs tradingPairs Trading: Quantitative Methods and Analysis (2004)Pairs Trading: Quantitative M…Using Cointegration Analysis in Econometric Modelling (1995)Using Cointegration Analysis …Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…The Sharpe Ratio (1994)The Sharpe RatioA critique of the application of unit root tests (1991)A critique of the application…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Fitting autoregressive models for prediction (1969)Fitting autoregressive models…Multiagent-based deep reinforcement learning for risk-shifting portfolio management (2022)Multiagent-based deep reinfor…Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes (2019)Optimal trading strategies fo…A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (2019)A flexible regime switching m…Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (2018)Statistical arbitrage with op…Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (2018)Pairs trading with a mean-rev…A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates (2017)A Dynamic Analysis of S&P 500…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further evidence on breaking trend functions in macroeconomic variables (1997)Testing for unit roots in heterogeneous panels (2003)Testing for Error Correction in Panel Data* (2007)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The evolution of macro models at the Federal Reserve Board (1997)WHAT HAVE WE LEARNED FROM THREE DECADES OF RESEARCH ON THE PRODUCTIVITY OF PUBLIC CAPITAL? (2013)Volatility linkages between energy and agricultural commodity prices (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Cryptocurrency trading: a comprehensive survey (2022)Tourism and Economic Growth: The Case of Mauritius (2004)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)Introductory Econometrics for Finance (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models (2001)Tourism as a long-run economic growth factor: the Spanish case (2002)Estimation of Panel Vector Autoregression in Stata (2016)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1969Fitting autoregressive models for prediction2,483 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1995Using Cointegration Analysis in Econometric Modelling873 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2013Cointegration and error correction503 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag502 cited
  • 2008Statistical Arbitrage in the U.S. Equities Market375 cited
  • 2009High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems345 cited
  • 2004Pairs Trading: Quantitative Methods and Analysis345 cited
  • 1991A critique of the application of unit root tests

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

313 cited
  • 2005Pairs trading295 cited
  • Cited by

    • 2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data49 cited
    • 2022Multiagent-based deep reinforcement learning for risk-shifting portfolio management47 cited
    • 2018Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 50044 cited
    • 2019Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes31 cited
    • 2017A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates29 cited
    • 2019A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns27 cited