Partial cointegration is a weakening of cointegration that allows for the
'cointegrating'residual to contain a random walk and a mean-reverting component. We …

This study analyzes the current status and potential of clean energy stocks compared with
the overall stock market index, particularly in terms of market efficiency and information flow …

We propose an alternative pairs trading strategy based on computing a mispricing index in a
novel way via a mixed copula model, or more specifically via an optimal linear combination …

Recent empirical evidence suggests that the transmission coefficient in susceptible-exposed-
infected-removed-like (SEIR-like) models evolves with time, presenting random patterns …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

We propose a new method for finding statistical arbitrages that can contain more assets than
just the traditional pair. We formulate the problem as seeking a portfolio with the highest …

We propose a CNN-LSTM deep learning model, which has been trained to classify
profitable from unprofitable spread sequences of cointegrated stocks, for a large scale …

Recent studies show that the popularity of the pairs trading strategy has been growing and it
may pose a problem as the opportunities to trade become much smaller. Therefore, the …

The explosion of algorithmic trading has been one of the most prominent recent trends in the
finance industry. Regularized estimating functions including Kalman filtering (KF) allow …

Arbitrage opportunity exploration is important to ensure the profitability of statistical
arbitrage. Prior studies that concentrate on cointegration model and other predictive models …