Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

By Jozef Rudy, Christian L. Dunis, G. Giorgioni, J. Laws. 2010

60 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b7a6c6419d18cbf4ad1254fa4a6280b7a3ef1a3f

Citations in the corpus

• Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013, unknown): “As an additional criteria for selecting the pairs to be used in the composition of the portfolio, we apply an approach introduced by Dunis et al. (2010). The approach consists in selecting the pairs for trading based on the best in-sample sharpe ratios6.”
• Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “The following is just a selection of relevant articles - most of them in an experimental setup and with limited applications to only a few selected securities: Dunis et al. (2006a) model the gasoline crack spread with artificial neural networks. Dunis et al. (2006b) apply recurrent and higher order ”