Copied A Machine Learning based Pairs Trading Investment Strategy
A Machine Learning based Pairs Trading Investment Strategy
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 pairs. It also proposes the integration of an unsupervised learning algorithm, OPTICS, to handle problem (i), and demonstrates that the suggested technique can outperform the common pairs search methods, achieving an average portfolio Sharpe ratio of 3.79, in comparison to 3.58 and 2.59 obtained using standard approaches. For problem (ii), the authors introduce a forecasting-based trading model capable of reducing the periods of portfolio decline by 75%. However, this comes at the expense of decreasing overall profitability. The authors also test the proposed strategy using an ARMA model, an LSTM and an LSTM encoder-decoder.
Price Comparison
| Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
|---|---|---|---|---|---|---|---|---|---|---|
|
BEST PRICE 1 Product Purchase
|
|
$54.99 | $54.99 |
|
$49.50 | See Site | In stock | Visit Store |
Reviews
Questions & Answers
ICT-Supported Innovations in Countries and Developing Regions
$109.99
Machine Learning and Knowledge Discovery in Databases
$109.99
Quality Assurance in Seafood Processing: A Practical Guide
$84.99
Examens-Fragen Allgemeine Pathologie
$54.99
Recent Advances in Mechanical Engineering
$249.99
Energy Storage
$69.99
Alternative Farming Systems, Biotechnology, Drought Stress and Ecological Fertilisation
$129.00
Quellenstudien zur Hollndischen Kunstgeschichte
$59.99
Numerische Methoden
$39.99
Frauenpolitische Chancen globaler Politik
$59.99
Bildung zwischen Staat und Markt
$49.99
Perspektiven der Wirtschaftswissenschaften
$99.99
AZ Handbuch fr Asbestzementrohre
$59.99
The Poetics of Otherness
$54.99
Chinas Publishing Industry in the Era of Big Data
$129.99
The Rediscovery of Wisdom
$169.99
Capitals of Punk
$19.99
Guide to Efficient Software Design
$84.99
Denkbilder in der Politik
$59.99
Housing in The Netherlands 19001940
$54.99
Proceedings of the 3rd International Conference on Sustainability in Civil Engineering
$89.00
Flinovia - Flow Induced Noise and Vibration Issues and Aspects
$169.00
Pathologie des mnnlichen Genitale
$89.00
The Wisdom of the Lotus Sutra
$44.99
Emigrating Beyond Earth
$44.99
The Climate Change Convention and Developing Countries
$109.99
Calcium Entry Pathways in Non-excitable Cells
$169.99
Hubert und Jan van Eyck
$49.99
Local History, Transnational Memory in the Romanian Holocaust
$39.99
Medizinische Kommunikation
$64.99
Contemporary Topics in Polymer Science
$39.99
Die Optimierung der Kontrolle regelmig wiederkehrender Arbeitsprozesse
$59.99
Blockchain-Implementierung in eine Automotive Supply Chain
$17.99
Computational Intelligence in Data Mining - Volume 2
$219.99
Dienstleistungsqualitt durch Total Quality Management
$49.99
Unternehmer sind Verrckte
$29.99
Migrant Farmworkers in 'Plastic Factories
$54.99
QM-Optimizing der Softwareentwicklung
$59.99
Ballen und Kissen
$59.99
Politische Geschichte der Gegenwart
$59.99
