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A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach
This paper addresses the problem of designing an efficient platform for pairs-trading implementation in real time. Capturing the stylised features of a spread process, i.e., the evolution of the differential between the returns from a pair of stocks, exhibiting a heavy-tailed mean-reverting process...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6956914/ https://www.ncbi.nlm.nih.gov/pubmed/31998599 http://dx.doi.org/10.1186/s40537-017-0106-3 |