A Machine Learning based Pairs Trading Investment Strategy

A Machine Learning based Pairs Trading Investment Strategy
Author :
Publisher : Springer Nature
Total Pages : 108
Release :
ISBN-10 : 9783030472511
ISBN-13 : 3030472515
Rating : 4/5 (11 Downloads)

Book Synopsis A Machine Learning based Pairs Trading Investment Strategy by : Simão Moraes Sarmento

Download or read book A Machine Learning based Pairs Trading Investment Strategy written by Simão Moraes Sarmento and published by Springer Nature. This book was released on 2020-07-13 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book investigates the application of promising machine learning techniques to address two problems: (i) how to find profitable pairs while constraining the search space and (ii) how to avoid long decline periods due to prolonged divergent pairs. It also proposes the integration of an unsupervised learning algorithm, OPTICS, to handle problem (i), and demonstrates that the suggested technique can outperform the common pairs search methods, achieving an average portfolio Sharpe ratio of 3.79, in comparison to 3.58 and 2.59 obtained using standard approaches. For problem (ii), the authors introduce a forecasting-based trading model capable of reducing the periods of portfolio decline by 75%. However, this comes at the expense of decreasing overall profitability. The authors also test the proposed strategy using an ARMA model, an LSTM and an LSTM encoder-decoder.


A Machine Learning based Pairs Trading Investment Strategy Related Books

A Machine Learning based Pairs Trading Investment Strategy
Language: en
Pages: 108
Authors: Simão Moraes Sarmento
Categories: Technology & Engineering
Type: BOOK - Published: 2020-07-13 - Publisher: Springer Nature

DOWNLOAD EBOOK

This book investigates the application of promising machine learning techniques to address two problems: (i) how to find profitable pairs while constraining the
A Machine Learning based Pairs Trading Investment Strategy
Language: en
Pages: 104
Authors: Simão Moraes Sarmento
Categories: Technology & Engineering
Type: BOOK - Published: 2020-07-14 - Publisher: Springer

DOWNLOAD EBOOK

This book investigates the application of promising machine learning techniques to address two problems: (i) how to find profitable pairs while constraining the
Machine Learning for Algorithmic Trading
Language: en
Pages: 822
Authors: Stefan Jansen
Categories: Business & Economics
Type: BOOK - Published: 2020-07-31 - Publisher: Packt Publishing Ltd

DOWNLOAD EBOOK

Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensi
Pairs Trading
Language: en
Pages: 295
Authors: Ganapathy Vidyamurthy
Categories: Business & Economics
Type: BOOK - Published: 2011-02-02 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) o
Algorithmic Trading
Language: en
Pages: 230
Authors: Ernie Chan
Categories: Business & Economics
Type: BOOK - Published: 2013-05-28 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Praise for Algorithmic TRADING “Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apar