scholarly journals High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach

2014 ◽  
Vol 6 (3) ◽  
Author(s):  
George J. Miao
Keyword(s):  
High Frequency ◽  
Pairs Trading ◽  
Two Stage ◽  
Statistical Arbitrage

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

Ultra-High-Frequency Pairs Trading in Gold ETFs

2017 ◽  
Author(s):  
Thong Dao ◽  
Frank McGroarty ◽  
Andrew Urquhart
Keyword(s):  
High Frequency ◽  
Pairs Trading ◽  
Ultra High Frequency

scholarly journals Vibration Frequency Characteristic Study of Two-stage Excitation Valve Used in Vibration Experiment System

2020 ◽  
Vol 2 (1) ◽  
Author(s):  
Yongping WU ◽  
Chengwei XIONG ◽  
Yi LIU ◽  
Jiafei ZHENG ◽  
Mingxuan ZOU
Keyword(s):  
High Frequency ◽  
Rotary Valve ◽  
Two Stage ◽  
Maximum Displacement ◽  
Experiment System ◽  
Oil Supply ◽  
Supply Pressure ◽  
Vibration Experiment ◽  
Working Principle ◽  
Large Flow

To satisfy the demands of higher frequency and amplitude in hydraulic vibration experiment system, the two-stage excitation valve is presented, and a mathematical model of two-stage excitation valve is established after analyzing the working principle of two-stage excitation valve, then the influence of relevant parameters on the displacement of main spool of two-stage excitation valve is studied by using Matlab/Simulink to calculate and analyze. The results show that the displacement of main spool will be smaller with bigger diameter and more secondary valve ports. When the reversing frequency is higher and the oil supply pressure is lower as well as the axial guide width of valve ports is smaller, the maximum displacement of main spool is smaller. The new two-stage excitation valve is easy to adjust reversing frequency and flow. The high frequency can be achieved by improving the rotation speed of servo motor and adding the number of secondary valve ports; the large flow can be realized by increasing the axial guide width of secondary valve ports and oil supply pressure. The result of this study is of guiding significance for designing the rotary valve for the achievement of higher reversing frequency and larger flow.

scholarly journals Some Notes on the Formation of a Pair in Pairs Trading

Mathematics ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 348 ◽  
Author(s):  
José Pedro Ramos-Requena ◽  
Juan Evangelista Trinidad-Segovia ◽  
Miguel Ángel Sánchez-Granero
Keyword(s):  
Hurst Exponent ◽  
Optimal Allocation ◽  
Mean Reversion ◽  
Equal Weight ◽  
Allocation Strategy ◽  
Pairs Trading ◽  
Distance Correlation ◽  
Statistical Arbitrage ◽  
New Methodologies ◽  
Set Up

The main goal of the paper is to introduce different models to calculate the amount of money that must be allocated to each stock in a statistical arbitrage technique known as pairs trading. The traditional allocation strategy is based on an equal weight methodology. However, we will show how, with an optimal allocation, the performance of pairs trading increases significantly. Four methodologies are proposed to set up the optimal allocation. These methodologies are based on distance, correlation, cointegration and Hurst exponent (mean reversion). It is showed that the new methodologies provide an improvement in the obtained results with respect to an equal weighted strategy.

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