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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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2022-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/9875266/ |
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