Intraday pairs trading strategies on high frequency data: the case of oil companies

By Bo Liu, Lo-Bin Chang, Helyette Geman. 2017

43 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Alexander Deinert
2. Thomas G. Fischer
3. Christopher Krauss
4. Omer Berat Sezer
5. A. Ozbayoglu
6. Weiwei Jiang
7. M. Ugur Gudelek
8. Sima Siami‐Namini

In Management Science and Operations Research

1. Alexander Deinert
2. Thomas G. Fischer
3. Christopher Krauss
4. Omer Berat Sezer
5. A. Ozbayoglu
6. Weiwei Jiang
7. M. Ugur Gudelek
8. Sima Siami‐Namini

Citations in the corpus

• Statistical Arbitrage in Cryptocurrency Markets (2019, background): “Hence, we have followed Gatev et al. (2006) and representatives of the high-frequency pairs trading literature—see Bowen and Hutchinson (2016); Liu et al. (2017), and only trade (i) when volume is present for a coin and (ii) with a one period gap after signal generation.”