Citations (12)
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Jing Luo, YuCheng Lin & Sijia Wang. (2023) Intraday high-frequency pairs trading strategies for energy futures: evidence from China. Applied Economics 0:0, pages 1-15.
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Lan Wu, Xin Zang & Hongxin Zhao. (2020) Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process. Quantitative Finance 20:8, pages 1285-1306.
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Michael Grabchak. (2020) On the simulation of general tempered stable Ornstein–Uhlenbeck processes. Journal of Statistical Computation and Simulation 90:6, pages 1057-1081.
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Sylvia Endres & Johannes Stübinger. (2019) A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. Quantitative Finance 19:10, pages 1727-1740.
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S. Endres & J. Stübinger. (2019) Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes. Applied Economics 51:29, pages 3153-3169.
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Johannes Stübinger & Sylvia Endres. (2018) Pairs trading with a mean-reverting jump–diffusion model on high-frequency data. Quantitative Finance 18:10, pages 1735-1751.
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Articles from other publishers (6)
Vladimír Holý & Michal Černý. (2021) Bertram’s pairs trading strategy with bounded risk. Central European Journal of Operations Research 30:2, pages 667-682.
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Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak-Kuen Siu & Wai-Ki Ching. (2021) Optimal pairs trading with dynamic mean-variance objective. Mathematical Methods of Operations Research 94:1, pages 145-168.
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Fernando Caneo & Werner Kristjanpoller. (2020) Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets. International Journal of Finance & Economics 26:3, pages 4424-4440.
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Victor Chang, Xiaowen Man, Qianwen Xu & Ching‐Hsien Hsu. (2020) Pairs trading on different portfolios based on machine learning. Expert Systems 38:3.
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Johannes Stübinger & Lucas Schneider. (2019) Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500. Journal of Risk and Financial Management 12:2, pages 51.
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Yurun Yang, Ahmet Goncu & Athanasios Pantelous. (2017) Pairs trading with commodity futures: evidence from the Chinese market. China Finance Review International 7:3, pages 274-294.
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