[1] |
VIDYAMURTHY G. Pairs Trading: Quantitative Methods and Analysis[M]. Hoboken, NJ: Wiley, 2004.
|
[2] |
JUREK J W, YANG H. Dynamic portfolio selection in arbitrage[DB/OL]. [2020-02-01]. http://ssrn.com/abstract=882536.
|
[3] |
SONG Q, ZHANG Q. An optimal pairs-trading rule[J]. Automatica, 2013, 49(10): 3007-3014.
|
[4] |
EKSTR E, LINDBERG C, TYSK J. Optimal liquidation of a pairs trade[C]// Advanced Mathematical Methods for Finance. Berlin: Springer, 2011: 247-255.
|
[5] |
MUDCHANATONGSUK S, PRIMBS J A, WONG W. Optimal pairs trading: A stochastic control approach[C]// 2008 American Control Conference. IEEE, 2008: 1035-1039.
|
[6] |
KUO K, LUU P, NGUYEN D, et al. Pairs trading: An optimal selling rule[J]. Mathematical Control and Related Fields, 2005, 5(3): 489-499.
|
[7] |
TIE J, ZHANG H, ZHANG Q.An optimal strategy for pairs trading under geometric Brownian motions[J]. Journal of Optimization Theory and Applications, 2018, 179(2): 654-675.
|
[8] |
NGO M M, PHAM H. Optimal switching for pairs trading rule: A viscosity solutions approach[J]. Journal of Mathematical Analysis and Applications, 2016, 441(1): 403-425.
|
[9] |
LARSSON S, LINDBERG C, WARFHEIMER M. Optimal closing of a pair trade with a model containing jumps[J]. Applications of Mathematics, 2013, 58(3): 249-268.
|
[10] |
CARL L. Pairs trading with opportunity cost[J]. Journal of Applied Probability, 2014, 51(1): 282-286.
|
[11] |
杨艳军, 陈思岑. 基于高频数据的我国国债期货市场套利研究[J]. 财务与金融, 2018, 172(2): 5-10.
|
[12] |
CHEN C W S, CHEN M, CHEN S Y. Pairs trading via three-regime threshold autoregressive GARCH models[C]// Modeling Dependence in Econometrics. Berlin: Springer, 2014: 127-140.
|
[13] |
HUCK N. Pairs selection and outranking: An application to the S&P 100 index[J]. European Journal of Operational Research, 2009, 196(2): 819-825.
|
[14] |
HUCK N. Pairs trading and outranking: The multi-step-ahead forecasting case[J]. European Journal of Operational Research, 2010, 207(3): 1702-1716.
|
[15] |
龙奥明, 毕秀春, 张曙光. 基于LSTM神经网络的黑色金属期货套利策略模型[J]. 中国科学技术大学学报, 2018, 48(2):125-132.
|
[16] |
胡文伟, 胡建强, 李湛, 等. 基于强化学习算法的自适应配对交易模型[J]. 管理科学, 2017, 30(2):148-160.
|
[17] |
毕秀春, 刘博, 袁吕宁, 等. 带止损条件的配对交易最优阈值[J]. 系统科学与数学, 2019, 39(7):1117-1141.
|
[18] |
ZHANG Q. Stock trading: An optimal selling rule[J]. Mathematical Control and Related Fields, 2015, 5(3): 489-499.
|
[19] |
LINDBERG C. Pairs trading with opportunity cost[J]. Journal of Applied Probability, 2014, 51(1): 282-286.
|
[20] |
倪禾. 基于启发式遗传算法的指数追踪组合构建策略[J]. 系统工程理论与实践, 2013, 33(10):2645-2653.
|
[21] |
张鸿彦, 林辉, 姜彩楼. 用混合小波网络和遗传算法对期权定价的研究[J]. 系统工程学报, 2010, 25(1): 43-49.
|
[22] |
HUANG C F, LI H C. An evolutionary method for financial forecasting in microscopic high-speed trading environment[J]. Computational Intelligence and Neuroscience, 2017, 2017: 1-18.
|
[23] |
HUANG C F, LIN C H, CHEN P C, et al. An improved genetic-based forecasting model for high-speed trading[C]// 2017 International Conference on Applied System Innovation. IEEE, 2017: 1904-1907.
|
[24] |
CLAVERIA O, MONTE E, TORRA S. Evolutionary computation for macroeconomic forecasting[J]. Computational Economics, 2017, 53(2): 833-849.
|
[25] |
CLAVERIA O, MONTE E, TORRA S. Tracking economic growth by evolving expectations via genetic programming: A two-step approach[R]. Barcelona, Spain: The Research Institute of Applied Economics (IREA), 2018.
|
[26] |
SAKS P, MARINGER D. Genetic programming in statistical arbitrage[C]// Applications of Evolutionary Computing. Berlin: Springer, 2008: 73-82.
|
[27] |
HUANG C F, HSU C J, CHEN C C, et al. An intelligent model for pairs trading using genetic algorithms[C]// Computational Intelligence and Neuroscience. London: Hindawi Publishing Corporation, 2015: Article ID 939606.
|
[28] |
CALDEIRA J F, MOURA G V. Selection of a portfolio of pairs based on cointegration: A statistical arbitrage strategy[J]. Brazilian Rev Finance, 2013, 11: 49-80.
|
[29] |
JACOBS H, WEBER M. On the determinants of pairs trading protability[J]. Journal of Financial Markets, 2015, 23: 75-97.
|
[30] |
CLEGG M, KRAUSS C. Pairs trading with partial cointegration[J]. Quantitative Finance, 2018, 18(1): 121-138.
|
[31] |
HOLLAND J H. Adaptation in natural and artificial systems[J]. Ann Arbor, 1992, 6(2): 126-137.
|
[32] |
ENGLE R F, GRANGER C W J. Co-integration and error correction: Representation, estimation, and testing[J]. Econometrica: Journal of the Econometric Society, 1987, 55(2): 251-276.
|
[33] |
JOHANSEN S. Statistical analysis of cointegration vectors[J]. Journal of Economic Dynamics and Control, 1988, 12(2-3): 231-254.
|
[34] |
HUCK N, AFAWUBO K. Pairs trading and selection methods: Is cointegration superior?[J]. Appl Econ, 2015, 47: 599-613.)
|
[1] |
VIDYAMURTHY G. Pairs Trading: Quantitative Methods and Analysis[M]. Hoboken, NJ: Wiley, 2004.
|
[2] |
JUREK J W, YANG H. Dynamic portfolio selection in arbitrage[DB/OL]. [2020-02-01]. http://ssrn.com/abstract=882536.
|
[3] |
SONG Q, ZHANG Q. An optimal pairs-trading rule[J]. Automatica, 2013, 49(10): 3007-3014.
|
[4] |
EKSTR E, LINDBERG C, TYSK J. Optimal liquidation of a pairs trade[C]// Advanced Mathematical Methods for Finance. Berlin: Springer, 2011: 247-255.
|
[5] |
MUDCHANATONGSUK S, PRIMBS J A, WONG W. Optimal pairs trading: A stochastic control approach[C]// 2008 American Control Conference. IEEE, 2008: 1035-1039.
|
[6] |
KUO K, LUU P, NGUYEN D, et al. Pairs trading: An optimal selling rule[J]. Mathematical Control and Related Fields, 2005, 5(3): 489-499.
|
[7] |
TIE J, ZHANG H, ZHANG Q.An optimal strategy for pairs trading under geometric Brownian motions[J]. Journal of Optimization Theory and Applications, 2018, 179(2): 654-675.
|
[8] |
NGO M M, PHAM H. Optimal switching for pairs trading rule: A viscosity solutions approach[J]. Journal of Mathematical Analysis and Applications, 2016, 441(1): 403-425.
|
[9] |
LARSSON S, LINDBERG C, WARFHEIMER M. Optimal closing of a pair trade with a model containing jumps[J]. Applications of Mathematics, 2013, 58(3): 249-268.
|
[10] |
CARL L. Pairs trading with opportunity cost[J]. Journal of Applied Probability, 2014, 51(1): 282-286.
|
[11] |
杨艳军, 陈思岑. 基于高频数据的我国国债期货市场套利研究[J]. 财务与金融, 2018, 172(2): 5-10.
|
[12] |
CHEN C W S, CHEN M, CHEN S Y. Pairs trading via three-regime threshold autoregressive GARCH models[C]// Modeling Dependence in Econometrics. Berlin: Springer, 2014: 127-140.
|
[13] |
HUCK N. Pairs selection and outranking: An application to the S&P 100 index[J]. European Journal of Operational Research, 2009, 196(2): 819-825.
|
[14] |
HUCK N. Pairs trading and outranking: The multi-step-ahead forecasting case[J]. European Journal of Operational Research, 2010, 207(3): 1702-1716.
|
[15] |
龙奥明, 毕秀春, 张曙光. 基于LSTM神经网络的黑色金属期货套利策略模型[J]. 中国科学技术大学学报, 2018, 48(2):125-132.
|
[16] |
胡文伟, 胡建强, 李湛, 等. 基于强化学习算法的自适应配对交易模型[J]. 管理科学, 2017, 30(2):148-160.
|
[17] |
毕秀春, 刘博, 袁吕宁, 等. 带止损条件的配对交易最优阈值[J]. 系统科学与数学, 2019, 39(7):1117-1141.
|
[18] |
ZHANG Q. Stock trading: An optimal selling rule[J]. Mathematical Control and Related Fields, 2015, 5(3): 489-499.
|
[19] |
LINDBERG C. Pairs trading with opportunity cost[J]. Journal of Applied Probability, 2014, 51(1): 282-286.
|
[20] |
倪禾. 基于启发式遗传算法的指数追踪组合构建策略[J]. 系统工程理论与实践, 2013, 33(10):2645-2653.
|
[21] |
张鸿彦, 林辉, 姜彩楼. 用混合小波网络和遗传算法对期权定价的研究[J]. 系统工程学报, 2010, 25(1): 43-49.
|
[22] |
HUANG C F, LI H C. An evolutionary method for financial forecasting in microscopic high-speed trading environment[J]. Computational Intelligence and Neuroscience, 2017, 2017: 1-18.
|
[23] |
HUANG C F, LIN C H, CHEN P C, et al. An improved genetic-based forecasting model for high-speed trading[C]// 2017 International Conference on Applied System Innovation. IEEE, 2017: 1904-1907.
|
[24] |
CLAVERIA O, MONTE E, TORRA S. Evolutionary computation for macroeconomic forecasting[J]. Computational Economics, 2017, 53(2): 833-849.
|
[25] |
CLAVERIA O, MONTE E, TORRA S. Tracking economic growth by evolving expectations via genetic programming: A two-step approach[R]. Barcelona, Spain: The Research Institute of Applied Economics (IREA), 2018.
|
[26] |
SAKS P, MARINGER D. Genetic programming in statistical arbitrage[C]// Applications of Evolutionary Computing. Berlin: Springer, 2008: 73-82.
|
[27] |
HUANG C F, HSU C J, CHEN C C, et al. An intelligent model for pairs trading using genetic algorithms[C]// Computational Intelligence and Neuroscience. London: Hindawi Publishing Corporation, 2015: Article ID 939606.
|
[28] |
CALDEIRA J F, MOURA G V. Selection of a portfolio of pairs based on cointegration: A statistical arbitrage strategy[J]. Brazilian Rev Finance, 2013, 11: 49-80.
|
[29] |
JACOBS H, WEBER M. On the determinants of pairs trading protability[J]. Journal of Financial Markets, 2015, 23: 75-97.
|
[30] |
CLEGG M, KRAUSS C. Pairs trading with partial cointegration[J]. Quantitative Finance, 2018, 18(1): 121-138.
|
[31] |
HOLLAND J H. Adaptation in natural and artificial systems[J]. Ann Arbor, 1992, 6(2): 126-137.
|
[32] |
ENGLE R F, GRANGER C W J. Co-integration and error correction: Representation, estimation, and testing[J]. Econometrica: Journal of the Econometric Society, 1987, 55(2): 251-276.
|
[33] |
JOHANSEN S. Statistical analysis of cointegration vectors[J]. Journal of Economic Dynamics and Control, 1988, 12(2-3): 231-254.
|
[34] |
HUCK N, AFAWUBO K. Pairs trading and selection methods: Is cointegration superior?[J]. Appl Econ, 2015, 47: 599-613.)
|