We develop further the Optdoi:10.2139/ssrn.2033172V. L. Raju ChinthalapatiSocial Science Electronic PublishingChinthalapati, V. L., 2012. High frequency statistical arbitrage via the optimal thermal causal path. Working paper, University of Greenwich....
statistical arbitrageWe show that exploitable lead-lag relations of the order of a few hundred milliseconds exist in the three pairings between the S&P 500, FTSE 100, and DAX futures contracts. These relations exhibit clear intra-daily patterns, particularly around the US open, the European close...
High FrequencyStatistical ArbitragePairs Tradingco integration ArbitrageBP Module数量化金融理论的发展,极大的刺激和体现了信息技术在金融领域日益卓越的重要性。不管是... 范翔 - 复旦大学 被引量: 0发表: 2016年 Trading Pairs: Capturing Profits and Hedging Risk with Statistical Arbitrage Strategies An accessibl...
A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises. Yet partnerships...
An algorithm-based statistical arbitrage high frequency trading system to forecast prices of natural gas futures , S., Sakalauskas, V., Vaitonis, M.: An algorithm-based statistical arbitrage high frequency trading system to forecast prices of natural gas futures... K Driaunys,S Masteika,V Sak...
一种基于高频数据的汇市统计套利策略 A Statistical Arbitrage Strategy in Forex Market Based on High-Frequency Data 喜欢 0 阅读量: 117 作者:肖敦健,邓晓卫,夏冰倩 摘要: 资本市场中,套利交易是一种规避风险的重要交易方式.统计套利在近几十年来在国外资本市场十分盛行.而国内资本市场由于缺乏做空机制,统计套利...
wait longer for a relevant price move so that they can capitalize on their position. Contrary to the market maker, the directional trader loves to see narrow bid-ask spreads. There would be no need to lower fees when the spread is close. The same is true for the statistical arbitrage ...
Mendelson was head of quantitative equity trading at Goldman Sachs before joining AQR in 2005; he oversees the firm’s statistical arbitrage strategies. He explained to me that high frequency trading doesn’t require much in the way of capital — in fact, it would be hard-pressed to put hun...
(2017), Exploiting Social Media with Higher-Order Factorization Machines: Statistical Arbitrage on High-Frequency Data of the S & P500. FAU Discussion Papers in Economics No. 13, University of Erlangen-Nurnberg.Knoll, J., Stu¨binger, J., Grottke, M., 2017. Exploiting social media with ...
High-frequency trading firms can be divided broadly into arbitrageurs, proprietary trading, and market makers. Their strategies include different forms of arbitrage, long/short equity, and market making. HFT firms rely on the ultrafast speed of computer software, data access, and connect...