Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Transactions on Circuits and Systems I: Regular Papers"
DOI: 10.1109/tcsi.2021.3073492
Abstract: Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important step of this strategy is selecting pairs of stocks. Compared with other existing pairs selection approaches, the Engle-Granger cointegration is… read more here.
Keywords: tex math; granger cointegration; pairs trading; cointegration ... See more keywords
The Determinants of Forest Products Footprint: A New Fourier Cointegration Approach
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DOI: 10.3390/f14050875
Abstract: This study aims to determine the factors that affect the forest products footprint (FPF) in Brazil during the period 1965–2018 by proposing a new cointegration test which augments the Engle-Granger cointegration test with a Fourier… read more here.
Keywords: cointegration; forest products; engle granger; cointegration test ... See more keywords