Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Simão Moraes Sarmento"'
Autor:
Simão Moraes Sarmento, Nuno Horta
Publikováno v:
SpringerBriefs in Applied Sciences and Technology ISBN: 9783030472504
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00b6069d9ce4dfd46ce5915119ea2a8e
https://doi.org/10.1007/978-3-030-47251-1
https://doi.org/10.1007/978-3-030-47251-1
Autor:
Simão Moraes Sarmento, Nuno Horta
Publikováno v:
A Machine Learning based Pairs Trading Investment Strategy ISBN: 9783030472504
This chapter introduces some important mathematical and financial concepts required to fully understand the workings of a Pairs Trading strategy. These include the concepts of mean-reversion, stationarity, and cointegration. Subsequently, it goes ove
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c853240498eec8f22e75f005887115e0
https://doi.org/10.1007/978-3-030-47251-1_2
https://doi.org/10.1007/978-3-030-47251-1_2
Autor:
Simão Moraes Sarmento, Nuno Horta
Publikováno v:
A Machine Learning based Pairs Trading Investment Strategy ISBN: 9783030472504
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c6001f15a51086ea92da6b92feb63027
https://doi.org/10.1007/978-3-030-47251-1_5
https://doi.org/10.1007/978-3-030-47251-1_5
Autor:
Simão Moraes Sarmento, Nuno Horta
Publikováno v:
A Machine Learning based Pairs Trading Investment Strategy ISBN: 9783030472504
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b360426f82dc5c4ca9ded0040818e34f
https://doi.org/10.1007/978-3-030-47251-1_6
https://doi.org/10.1007/978-3-030-47251-1_6
Autor:
Simão Moraes Sarmento, Nuno Horta
Publikováno v:
A Machine Learning based Pairs Trading Investment Strategy ISBN: 9783030472504
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bc016a711bfb061ef21249de7d8e6963
https://doi.org/10.1007/978-3-030-47251-1_7
https://doi.org/10.1007/978-3-030-47251-1_7
Autor:
Simão Moraes Sarmento, Nuno Horta
Publikováno v:
A Machine Learning based Pairs Trading Investment Strategy ISBN: 9783030472504
This chapter proposes a new framework for pairs selection aiming to answer this work’s first research question (introduced in Chap. 1): “Can Unsupervised Learning find more promising pairs?”. It starts by describing the problems associated with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0449203c3deea85117972f7548ec4c59
https://doi.org/10.1007/978-3-030-47251-1_3
https://doi.org/10.1007/978-3-030-47251-1_3
Autor:
Nuno Horta, Simão Moraes Sarmento
Publikováno v:
A Machine Learning based Pairs Trading Investment Strategy ISBN: 9783030472504
This chapter starts by exploring the issues associated with most Pairs Trading models, thus motivating the rationale for this work’s second research question: “Can a forecasting-based trading model achieve a more robust performance?”. A novel t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c10209bb55a91b5487c34aa5248637bb
https://doi.org/10.1007/978-3-030-47251-1_4
https://doi.org/10.1007/978-3-030-47251-1_4
Autor:
Simão Moraes Sarmento, Nuno Horta
This book investigates the application of promising machine learning techniques to address two problems: (i) how to find profitable pairs while constraining the search space and (ii) how to avoid long decline periods due to prolonged divergent pair
Autor:
Nuno Horta, Simão Moraes Sarmento
Publikováno v:
Expert Systems with Applications. 158:113490
Pairs Trading is one of the most valuable market-neutral strategies used by hedge funds. It is particularly interesting because it overcomes the arduous process of valuing securities by focusing on relative pricing. By buying a relatively undervalued
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::182dfd0dbc6f8af299613f87a0a9d4d2
https://doi.org/10.1016/j.eswa.2020.113490
https://doi.org/10.1016/j.eswa.2020.113490
