کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6898874 1446114 2010 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pairs trading and outranking: The multi-step-ahead forecasting case
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Pairs trading and outranking: The multi-step-ahead forecasting case
چکیده انگلیسی
Pairs trading is a popular speculation strategy. Several implementation methods are proposed in the literature: they can be based on a distance criterion or on co-integration. This article extends previous research in another direction: the combination of forecasting techniques (Neural Networks) and multi-criteria decision making methods (Electre III). The key contribution of this paper is the introduction of multi-step-ahead forecasts. It leads to major changes in the trading system and raises new empirical and methodological questions. The results of an application based on S&P 100 Index stocks are promising: this methodology could be a powerful tool for pairs selection in a highly non-linear environment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 207, Issue 3, 16 December 2010, Pages 1702-1716
نویسندگان
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