arXiv:2106.09132
Multivariate Pair Trading by Volatility & Model Adaption Trade-off
원문 초록
Pair trading is one of the most discussed topics among financial researches. Despite a growing base of work, portfolio management for multivariate time series is rarely discussed. On the other hand, most researches focus on refining strategy rules instead of finding the optimal portfolio weight. In this paper, we brought up a simple yet profitable strategy called Volatility & Model Adaption Trade-off (VMAT) to leverage the issues. Experiment studies show its superior profit performance over baselines.
함께 살펴볼 논문
공통 태그를 근거로 연결했습니다. 실제 인용 관계나 논문의 우수성을 뜻하지 않습니다.
skfolio: Portfolio Optimization in Python
A Review of the Long Horizon Forecasting Problem in Time Series Analysis
The interplay of robustness and generalization in quantum machine learning
A Better Alternative to Piecewise Linear Time Series Segmentation
Process mining-driven modeling and simulation to enhance fault diagnosis in cyber-physical systems
Time-IMM: A Dataset and Benchmark for Irregular Multimodal Multivariate Time Series
토론
이 논문과 연결된 포럼 글이 아직 없습니다.