Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
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Cited by:
- Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Stübinger, Johannes & Walter, Dominik & Knoll, Julian, 2017. "Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data," FAU Discussion Papers in Economics 19/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Johannes St binger & Jens Bredthauer, 2017. "Statistical Arbitrage Pairs Trading with High-frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 650-662.
- Knoll, Julian & Stübinger, Johannes & Grottke, Michael, 2017. "Exploiting social media with higher-order Factorization Machines: Statistical arbitrage on high-frequency data of the S&P 500," FAU Discussion Papers in Economics 13/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Bahareh Afhami & Mohsen Rezapour & Mohsen Madadi & Vahed Maroufy, 2021. "Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk," Papers 2104.11594, arXiv.org.
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Keywords
finance; statistical arbitrage; pairs trading; high-frequency data; jump-diffusion model; mean-reversion;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2017-05-21 (Market Microstructure)
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