Matches in SemOpenAlex for { <https://semopenalex.org/work/W2638576872> ?p ?o ?g. }
- W2638576872 endingPage "1751" @default.
- W2638576872 startingPage "1735" @default.
- W2638576872 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 us to perform intraday and overnight trading. Essentially, we conduct a three-step calibration procedure to the spreads of all pair combinations in a formation period. Top pairs are selected based on their spreads’ mean-reversion speed and jump behaviour. Afterwards, we trade the top pairs in an out-of-sample trading period with individualized entry and exit thresholds. In the back-testing study, the strategy produces statistically and economically significant returns of 60.61% p.a. and an annualized Sharpe ratio of 5.30, after transaction costs. We benchmark our pairs trading strategy against variants based on traditional distance and time-series approaches and find its performance to be superior relating to risk–return characteristics. The mean-reversion speed is a main driver of successful and fast termination of the pairs trading strategy." @default.
- W2638576872 created "2017-06-30" @default.
- W2638576872 creator A5069720633 @default.
- W2638576872 creator A5070343025 @default.
- W2638576872 date "2018-02-22" @default.
- W2638576872 modified "2023-10-13" @default.
- W2638576872 title "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data" @default.
- W2638576872 cites W1489316505 @default.
- W2638576872 cites W1499969990 @default.
- W2638576872 cites W1503185336 @default.
- W2638576872 cites W1513618424 @default.
- W2638576872 cites W1517994826 @default.
- W2638576872 cites W1730150177 @default.
- W2638576872 cites W1829593028 @default.
- W2638576872 cites W1922314705 @default.
- W2638576872 cites W1965766592 @default.
- W2638576872 cites W1986231551 @default.
- W2638576872 cites W1993645729 @default.
- W2638576872 cites W2000359198 @default.
- W2638576872 cites W2012079387 @default.
- W2638576872 cites W2020041898 @default.
- W2638576872 cites W2058795399 @default.
- W2638576872 cites W2062490455 @default.
- W2638576872 cites W2070892101 @default.
- W2638576872 cites W2074310789 @default.
- W2638576872 cites W2100011707 @default.
- W2638576872 cites W2100051125 @default.
- W2638576872 cites W2101182724 @default.
- W2638576872 cites W2113305199 @default.
- W2638576872 cites W2115865827 @default.
- W2638576872 cites W2125520394 @default.
- W2638576872 cites W2137451767 @default.
- W2638576872 cites W2138540172 @default.
- W2638576872 cites W2144844788 @default.
- W2638576872 cites W2148965563 @default.
- W2638576872 cites W2149558700 @default.
- W2638576872 cites W2151065060 @default.
- W2638576872 cites W2152762434 @default.
- W2638576872 cites W2155729027 @default.
- W2638576872 cites W2166468002 @default.
- W2638576872 cites W2166668606 @default.
- W2638576872 cites W2276162781 @default.
- W2638576872 cites W2287572211 @default.
- W2638576872 cites W2342352817 @default.
- W2638576872 cites W2394439017 @default.
- W2638576872 cites W2411480806 @default.
- W2638576872 cites W2483327239 @default.
- W2638576872 cites W3012969116 @default.
- W2638576872 cites W3013447232 @default.
- W2638576872 cites W3098807584 @default.
- W2638576872 cites W3101544282 @default.
- W2638576872 cites W3104978619 @default.
- W2638576872 cites W3121506877 @default.
- W2638576872 cites W3122010751 @default.
- W2638576872 cites W3122035786 @default.
- W2638576872 cites W3122040394 @default.
- W2638576872 cites W3122188145 @default.
- W2638576872 cites W3122522189 @default.
- W2638576872 cites W3122773551 @default.
- W2638576872 cites W3122855307 @default.
- W2638576872 cites W3122998315 @default.
- W2638576872 cites W3123041092 @default.
- W2638576872 cites W3123585927 @default.
- W2638576872 cites W3124214742 @default.
- W2638576872 cites W3124605301 @default.
- W2638576872 cites W3125023246 @default.
- W2638576872 cites W3125656118 @default.
- W2638576872 cites W3125881508 @default.
- W2638576872 cites W3125898740 @default.
- W2638576872 cites W3126044242 @default.
- W2638576872 cites W3126122605 @default.
- W2638576872 cites W4237239309 @default.
- W2638576872 cites W4256431242 @default.
- W2638576872 doi "https://doi.org/10.1080/14697688.2017.1417624" @default.
- W2638576872 hasPublicationYear "2018" @default.
- W2638576872 type Work @default.
- W2638576872 sameAs 2638576872 @default.
- W2638576872 citedByCount "37" @default.
- W2638576872 countsByYear W26385768722018 @default.
- W2638576872 countsByYear W26385768722019 @default.
- W2638576872 countsByYear W26385768722020 @default.
- W2638576872 countsByYear W26385768722021 @default.
- W2638576872 countsByYear W26385768722022 @default.
- W2638576872 countsByYear W26385768722023 @default.
- W2638576872 crossrefType "journal-article" @default.
- W2638576872 hasAuthorship W2638576872A5069720633 @default.
- W2638576872 hasAuthorship W2638576872A5070343025 @default.
- W2638576872 hasBestOaLocation W26385768722 @default.
- W2638576872 hasConcept C10138342 @default.
- W2638576872 hasConcept C106159729 @default.
- W2638576872 hasConcept C121332964 @default.
- W2638576872 hasConcept C131562839 @default.
- W2638576872 hasConcept C135205223 @default.
- W2638576872 hasConcept C139938925 @default.
- W2638576872 hasConcept C142450864 @default.
- W2638576872 hasConcept C149782125 @default.
- W2638576872 hasConcept C158876240 @default.
- W2638576872 hasConcept C160623529 @default.