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Structural break-aware pairs trading strategy using deep reinforcement learning

Pairs trading is an effective statistical arbitrage strategy considering the spread of paired stocks in a stable cointegration relationship. Nevertheless, rapid market changes may break the relationship (namely structural break), which further leads to tremendous loss in intraday trading. In this pa...

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Detalles Bibliográficos
Autores principales:	Lu, Jing-You, Lai, Hsu-Chao, Shih, Wen-Yueh, Chen, Yi-Feng, Huang, Shen-Hang, Chang, Hao-Han, Wang, Jun-Zhe, Huang, Jiun-Long, Dai, Tian-Shyr
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2021
Materias:	Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8369334/ https://www.ncbi.nlm.nih.gov/pubmed/34421218 http://dx.doi.org/10.1007/s11227-021-04013-x

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