Pairs trading and outranking: The multi-step-ahead forecasting case
By Nicolas Huck. 2010
135 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
- Alexander Deinert
- Thomas G. Fischer
- Christopher Krauss
- Kannan Govindan
- Martin Brandt Jepsen
- Georgios Sermpinis
- Efstratios F. Georgopoulos
- Andreas S. Karathanasopoulos
In Management Science and Operations Research
- Christopher Krauss
- Alexander Deinert
- Thomas G. Fischer
- Kannan Govindan
- Martin Brandt Jepsen
- Xuan Anh Do
- Omer Berat Sezer
- A. Ozbayoglu
Citations in the corpus
- Statistical Arbitrage in Cryptocurrency Markets (2019, methodology): “Huck (2009, 2010); Krauss et al. (2017); Moritz and Zimmermann (2014); Takeuchi and Lee (2013), who have developed similar methods for U.S. cash equities, but on much lower frequencies (days to months).”
- Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Huck is the main author who has developed and published on this pairs trading methodology in Huck (2009) and Huck (2010), respectively.”
- Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017, background): “Huck (2010) enhances this approach with multi-step-ahead forecasts.”
- The profitability of pairs trading strategies: distance, cointegration and copula methods (2016, unknown): “Several other studies also focus on deriving automated trading strategies from technical analysis or creating profitable algorithms based on different cross-disciplinary concepts (Dempster and Jones 2001, Huck 2009, 2010, Creamer and Freund 2010).”
- Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization (2013, methodology): “On the same year while on the same year Huck (2010) combines NNs with a multi-criteria decision making method in a S&P 100 stock pair trading application with good results.”
- ELECTRE: A comprehensive literature review on methodologies and applications (2016, methodology): “Huck (2010) extended the approach to use multi-step forecasts.”