Advanced search
Publication Cover
Quantitative Finance Volume 19, 2019 - Issue 10
Submit an article Journal homepage
1,009
Views
13
CrossRef citations to date
0
Altmetric
Research Papers

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Sylvia EndresDepartment of Statistics and Econometrics, University of Erlangen–Nürnberg, D-90403, Nürnberg, GermanyCorrespondence[email protected]
&
Johannes StübingerDepartment of Statistics and Econometrics, University of Erlangen–Nürnberg, D-90403, Nürnberg, Germany
Pages 1727-1740 | Received 17 May 2018, Accepted 15 Feb 2019, Published online: 19 Mar 2019

Citations (13)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Yun Xiang, Yonghong Zhao & Shijie Deng. (2023) Pairs trading with fractional Ornstein–Uhlenbeck spread model. Applied Economics 55:23, pages 2607-2623.
Read now
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.
Read now

Articles from other publishers (11)

Zahra Hajirahimi & Mehdi Khashei. (2023) Weighting Approaches in Data Mining and Knowledge Discovery: A Review. Neural Processing Letters 55:8, pages 10393-10438.
Crossref
Yaoyuan Zhang & Dewen Xiong. (2023) Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model. Mathematics 11:9, pages 2191.
Crossref
Shuyi Zhang, Qingqing Zhai, Xin ShiXuejuan Liu. (2023) A Wiener Process Model With Dynamic Covariate for Degradation Modeling and Remaining Useful Life Prediction. IEEE Transactions on Reliability 72:1, pages 214-223.
Crossref
Viviana Fanelli, Claudio Fontana & Francesco Rotondi. (2023) A Hidden Markov Model for Statistical Arbitrage in International Crude Oil Futures Markets. SSRN Electronic Journal.
Crossref
Vladimír Holý & Michal Černý. (2021) Bertram’s pairs trading strategy with bounded risk. Central European Journal of Operations Research 30:2, pages 667-682.
Crossref
Wei-Lun Kuo, Wei-Che Chang, Tian-Shyr Dai, Ying-Ping Chen & Hao-Han Chang. (2022) Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance. IEEE Access 10, pages 97030-97046.
Crossref
Alejandra López-Pérez, Manuel Febrero-Bande & Wencesalo González-Manteiga. (2021) Parametric Estimation of Diffusion Processes: A Review and Comparative Study. Mathematics 9:8, pages 859.
Crossref
Lucas Schneider & Johannes Stübinger. (2020) Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns. Mathematics 8:9, pages 1627.
Crossref
Nikolaos Limnios & Anatoliy Swishchuk. (2020) Discrete-Time Semi-Markov Random Evolutions in Asymptotic Reduced Random Media with Applications. Mathematics 8:6, pages 963.
Crossref
Johannes Stübinger & Katharina Adler. (2020) How to Identify Varying Lead–Lag Effects in Time Series Data: Implementation, Validation, and Application of the Generalized Causality Algorithm. Algorithms 13:4, pages 95.
Crossref
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.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.