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Pairs trading via unsupervised learning · Study

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ArticlePairs trading via unsupervised learning

Chulwoo Han2022

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Articlegreen2022

Pairs trading via unsupervised learning

Chulwoo Han · Zhaodong He · Alenson Jun Wei Toh

35 citations·0/0 files stored·European Journal of Operational Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 2014A five-factor asset pricing model 1996Multifactor Explanations of Asset Pricing Anomalies 2017Deep learning with long short-term memory networks for financial market predictions 2020Empirical Asset Pricing via Machine Learning 2008Robust performance hypothesis testing with the Sharpe ratio 2020The Unprecedented Stock Market Impact of COVID-19 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule

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Year2022

Typearticle

Published2022-10-06

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations35

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.ejor.2022.09.041

openalex_workW4302362891

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