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Pairs trading via unsupervised learning
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2016Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500749 cited
  • 2017The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns684 cited
  • 1999The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect545 cited
  • 2014Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?507 cited
  • 2020An Augmented q -Factor Model with Expected Growth487 cited
  • 2020Bond Risk Premiums with Machine Learning416 cited
  • 2008Statistical Arbitrage in the U.S. Equities Market

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375 cited
  • 2004Pairs Trading: Quantitative Methods and Analysis345 cited
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