A Machine Learning based Pairs Trading Investment Strategy

Name: A Machine Learning based Pairs Trading Investment Strategy
Brand: Springer Nature
SKU: 9783030472504
Availability: InStock

Best Price (Coupon Required):
Buy A Machine Learning based Pairs Trading Investment Strategy for $49.50 at @ Link.springer.com when you apply the 10% OFF coupon at checkout.
Click “Get Coupon & Buy” to copy the code and unlock the deal.

Set a price drop alert to never miss an offer.

1 Offer Price Range: $54.99 - $54.99

BEST PRICE

Single Product Purchase

$49.50

@ Link.springer.com with extra coupon

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 @ Link.springer.com		$54.99	$54.99		10% OFF This deals requires coupon	$49.50		See Site	In stock	Visit Store

Product Details

Brand

Springer Nature

Manufacturer

N/A

Part Number

GTIN

9783030472504

Condition

New

Product Description

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.

Available Colors

N/A

Available Sizes

N/A