Titlebook: A Machine Learning based Pairs Trading Investment Strategy; Sim?o Moraes‘Sarmento,Nuno Horta Book 2021 The Editor(s) (if applicable) and T

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Sim?o Moraes‘Sarmento,Nuno HortaDiscusses unsupervised learning applied in pairs trading.Presents exclusive trading models.Simulates the performance of a pairs trading strategy using commodity-linked ETFs with 5-min frequency price

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SpringerBriefs in Applied Sciences and Technologyhttp://image.papertrans.cn/a/image/141370.jpg

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Olivia Nocentini,Jaeseok Kim,Filippo Cavallolysis of the adopted dataset, including the motivation for using ETFs, the sectors considered, the preprocessing steps followed and the partitions and time windows studied. It proceeds by describing how each research stage is implemented, regarding the test conditions and the algorithms used. At las

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Lecture Notes in Electrical Engineering details when comparing different selection techniques. It proceeds to describe the results achieved by the application of the proposed pairs selection framework (in Chap.?3) and allows us to infer the effectiveness of applying an Unsupervised Learning based technique in this context. The results co

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