Matches in SemOpenAlex for { <https://semopenalex.org/work/W1842301350> ?p ?o ?g. }
Showing items 1 to 80 of
80
with 100 items per page.
- W1842301350 abstract "We consider the problem of identifying similarities and causality relationships in a given set of financial time series data streams. We develop further the “Optimal Thermal Causal Path” method, which is a non-parametric method proposed by Sornette et al. The method considers the mismatch between a given pair of time series in order to identify the expected minimum energy path lead-lag structure between the pair. Traders may find this a useful tool for directional trading, to spot arbitrage opportunities. We add a curvature energy term to the method and we propose an approximation technique to reduce the computational time. We apply the method and approximation technique on various market sectors of NYSE data and extract the highly correlated pairs of time series. We show how traders could exploit arbitrage opportunities by using the method." @default.
- W1842301350 created "2016-06-24" @default.
- W1842301350 creator A5075849573 @default.
- W1842301350 date "2012-01-01" @default.
- W1842301350 modified "2023-09-23" @default.
- W1842301350 title "High Frequency Statistical Arbitrage Via the Optimal Thermal Causal Path" @default.
- W1842301350 cites W1499550068 @default.
- W1842301350 cites W1534304300 @default.
- W1842301350 cites W1552949382 @default.
- W1842301350 cites W1968010112 @default.
- W1842301350 cites W1982686149 @default.
- W1842301350 cites W1988899076 @default.
- W1842301350 cites W1993498260 @default.
- W1842301350 cites W2000538464 @default.
- W1842301350 cites W2049877533 @default.
- W1842301350 cites W2107535465 @default.
- W1842301350 cites W2108166901 @default.
- W1842301350 cites W2108626041 @default.
- W1842301350 cites W2113687945 @default.
- W1842301350 cites W2116988722 @default.
- W1842301350 cites W2117287322 @default.
- W1842301350 cites W2138293190 @default.
- W1842301350 cites W2148741175 @default.
- W1842301350 cites W2149795368 @default.
- W1842301350 cites W2166423951 @default.
- W1842301350 cites W3122597312 @default.
- W1842301350 cites W3124222149 @default.
- W1842301350 cites W58346954 @default.
- W1842301350 cites W635062339 @default.
- W1842301350 cites W2189574420 @default.
- W1842301350 doi "https://doi.org/10.2139/ssrn.2033172" @default.
- W1842301350 hasPublicationYear "2012" @default.
- W1842301350 type Work @default.
- W1842301350 sameAs 1842301350 @default.
- W1842301350 citedByCount "3" @default.
- W1842301350 countsByYear W18423013502016 @default.
- W1842301350 countsByYear W18423013502020 @default.
- W1842301350 crossrefType "journal-article" @default.
- W1842301350 hasAuthorship W1842301350A5075849573 @default.
- W1842301350 hasBestOaLocation W18423013502 @default.
- W1842301350 hasConcept C106159729 @default.
- W1842301350 hasConcept C142450864 @default.
- W1842301350 hasConcept C149782125 @default.
- W1842301350 hasConcept C160623529 @default.
- W1842301350 hasConcept C162324750 @default.
- W1842301350 hasConcept C167416602 @default.
- W1842301350 hasConcept C181236170 @default.
- W1842301350 hasConcept C199360897 @default.
- W1842301350 hasConcept C2777735758 @default.
- W1842301350 hasConcept C41008148 @default.
- W1842301350 hasConcept C42854785 @default.
- W1842301350 hasConceptScore W1842301350C106159729 @default.
- W1842301350 hasConceptScore W1842301350C142450864 @default.
- W1842301350 hasConceptScore W1842301350C149782125 @default.
- W1842301350 hasConceptScore W1842301350C160623529 @default.
- W1842301350 hasConceptScore W1842301350C162324750 @default.
- W1842301350 hasConceptScore W1842301350C167416602 @default.
- W1842301350 hasConceptScore W1842301350C181236170 @default.
- W1842301350 hasConceptScore W1842301350C199360897 @default.
- W1842301350 hasConceptScore W1842301350C2777735758 @default.
- W1842301350 hasConceptScore W1842301350C41008148 @default.
- W1842301350 hasConceptScore W1842301350C42854785 @default.
- W1842301350 hasLocation W18423013501 @default.
- W1842301350 hasLocation W18423013502 @default.
- W1842301350 hasOpenAccess W1842301350 @default.
- W1842301350 hasPrimaryLocation W18423013501 @default.
- W1842301350 hasRelatedWork W1991112490 @default.
- W1842301350 hasRelatedWork W2027891562 @default.
- W1842301350 hasRelatedWork W2134058467 @default.
- W1842301350 hasRelatedWork W2363171451 @default.
- W1842301350 hasRelatedWork W2383078512 @default.
- W1842301350 hasRelatedWork W2386799696 @default.
- W1842301350 hasRelatedWork W2676651617 @default.
- W1842301350 hasRelatedWork W3214379704 @default.
- W1842301350 hasRelatedWork W33851711 @default.
- W1842301350 hasRelatedWork W4205408558 @default.
- W1842301350 isParatext "false" @default.
- W1842301350 isRetracted "false" @default.
- W1842301350 magId "1842301350" @default.
- W1842301350 workType "article" @default.