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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Computational Intelligence) - Softcover
- PublisherSpringer
- Publication date2020
- ISBN 10 3030472507
- ISBN 13 9783030472504
- BindingPaperback
- LanguageEnglish
- Edition number1
- Number of pages113
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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Applied Sciences and Technology)
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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Computational Intelligence)
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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Computational Intelligence)
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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Computational Intelligence)
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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Computational Intelligence)
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A Machine Learning based Pairs Trading Investment Strategy
ISBN 10: 3030472507
ISBN 13: 9783030472504
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware - This book investigates the application of promising machine learning techniques toaddresstwo 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. 116 pp. Englisch. Seller Inventory # 9783030472504
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Enhancing a Pairs Trading Strategy with the Application of Machine Learning (SpringerBriefs in Applied Sciences and Technology)
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A Machine Learning based Pairs Trading Investment Strategy
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Springer International Publishing, Springer Nature Switzerland, 2020
ISBN 10: 3030472507
ISBN 13: 9783030472504
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Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book investigates the application of promising machine learning techniques toaddresstwo 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. Seller Inventory # 9783030472504
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A Machine Learning based Pairs Trading Investment Strategy (SpringerBriefs in Applied Sciences and Technology)
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Paperback. Condition: New. 1st ed. 2021. Special order direct from the distributor. Seller Inventory # ING9783030472504
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