https://libeldoc.bsuir.by/handle/123456789/48532| Title: | Machine learning algorithms in pair trading |
| Authors: | Sviridenko, E. V. Filipchenkov, V. D. Zuyonok, R. V. |
| Keywords: | материалы конференций;pairs trading;machine learning;statistical arbitrage;hiearchical agglomerative clustering;financial modeling |
| Issue Date: | 2022 |
| Publisher: | БГУИР |
| Citation: | Sviridenko, E. V. Machine learning algorithms in pair trading / Sviridenko E. V., Filipchenkov V. D., Zuyonok R. V. // Проблемы экономики и информационных технологий : сборник тезисов и статей докладов 58-ой научной конференции аспирантов, магистрантов и студентов БГУИР, Минск, 18–22 апреля 2022 г. / Белорусский государственный университет информатики и радиоэлектроники. – Минск, 2022. – С. 73–79. |
| Abstract: | Pairs trading is an approach of identification and construction of mean-reverting portfolio consisting of two or more assets. We have reviewed existing literature related to the usage of machine learning algorithms in statistical arbitrage trading strategy. Additionaly, we backtested trading-pairs, that were formed with clustering and dimension reduction algorithms, using 10 years (2012–2022) of S&P stock index time-series daily market data. |
| URI: | https://libeldoc.bsuir.by/handle/123456789/48532 |
| Appears in Collections: | Проблемы экономики и информационных технологий : материалы 58-й научной конференции аспирантов, магистрантов и студентов (2022) |
| File | Description | Size | Format | |
|---|---|---|---|---|
| Sviridenko_Mashine.pdf | 1.06 MB | Adobe PDF | View/Open |
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