logo

Home

|

Products

|

9789356962026

Image of - A Machine Learning Based Pairs Trading Investment Strategy | Paperback
A Machine Learning Based Pairs Trading Investment Strategy | Paperback

A Machine Learning Based Pairs Trading Investment Strategy | Paperback

by Sarmento S.M.

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.

Highlights

  • binding-icon

    9783030472504

    ISBN:

  • binding-icon

    Sarmento S.M.

    Author:

  • binding-icon

    104

    Pages:

  • binding-icon

    215 gm

    Weight:

  • langauage-icon

    English

    Language:

  • date-icon

    2021

    Year:

  • edition-icon

    1st Edition

    Edition:

  • binding-icon

    Paperback

    Binding:

₹5658

₹7072

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.

Loading...

Online store of medical books

Discover a comprehensive range of medical books at our online store. From anatomy and physiology to the latest clinical guidelines, we've got you covered.

Trusted by students, educators, and healthcare professionals worldwide. Browse top publishers and expert-authored titles in every medical specialty. Enjoy fast shipping, secure payments, and easy returns. Your one-stop destination for quality medical knowledge at your fingertips.

Whether you're preparing for exams or expanding your clinical expertise, our curated collection ensures you have the right resources at hand. Dive into detailed illustrations, case studies, and up-to-date research that enhance your understanding and practical skills.

We regularly update our inventory to include the latest editions and newly released titles, helping you stay current in the ever-evolving medical field. Our advanced search and filtering tools make finding the perfect book quick and hassle-free.

Join our community of lifelong learners and medical enthusiasts. Sign up for exclusive discounts, early access to new arrivals, and personalized book recommendations tailored to your professional interests.