Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance

Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance

A pairs trading strategy (PTS) constructs and monitors a stationary portfolio by shorting (longing) when the portfolio is adequately over- (under-)priced measured by a predetermined open threshold. We close this position to earn the price differences when the portfolio’s value reverts bac...

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Bibliographic Details
Main Authors: Wei-Lun Kuo, Wei-Che Chang, Tian-Shyr Dai, Ying-Ping Chen, Hao-Han Chang
Format: Article
Language:English
Published: IEEE 2022-01-01
Series:IEEE Access
Subjects:
Pairs trading strategy
representative labeling
time (in)variant data
two-stage deep learning
Online Access:https://ieeexplore.ieee.org/document/9875266/
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