Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
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DOI: 10.1080/14697688.2017.1417624
Abstract: This paper develops a pairs trading framework based on a mean-reverting jump–diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables… read more here.
Keywords: pairs trading; jump diffusion; trading; reverting jump ... See more keywords