3 Artículos

How to Identify Varying Lead?Lag Effects in Time Series Data: Implementation, Validation, and Application of the Generalized Causality Algorithm

Acceso

en línea

Johannes Stübinger and Katharina Adler

This paper develops the generalized causality algorithm and applies it to a multitude of data from the fields of economics and finance. Specifically, our parameter-free algorithm efficiently determines the optimal non-linear mapping and identifies varyin... ver más

Revista: Algorithms Formato: Electrónico

Tabla de contenido: Vol: 13 Num: 0 Par: 4 Año: 2020

Statistical Arbitrage Pairs Trading with High-frequency Data

Acceso

en línea

Johannes Stübinger,Jens Bredthauer Pág. 650 - 662

In recent years, more sophisticated techniques for analyzing data and exponential increase in computing power allow high-frequency trading. This paper provides a detailed overview on pairs trading in the context of intraday data and applies different str... ver más

Revista: International Journal of Economics and Financial Issues Formato: Electrónico

Tabla de contenido: Vol: 7 Num: 4 Par: 0 Año: 2017

« Anterior Página: 1 de 1 Siguiente »