A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
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DOI: 10.1080/14697688.2019.1585562
Abstract: This paper develops the regime classification algorithm and applies it within a fully-fledged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines… read more here.
Keywords: regime switching; pairs trading; high frequency; flexible regime ... See more keywords