2020欧洲杯谁能夺冠

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A Machine Learning based Pairs Trading Investment Strategy

  • Simão Moraes Sarmento
  • Nuno Horta
Book
  • 61 Downloads

Part of the SpringerBriefs in Applied Sciences and Technology book series (BRIEFSAPPLSCIENCES)

Also part of the book sub series (BRIEFSINTELL)2020欧洲杯谁能夺冠

Table of contents

  1. Front Matter
    Pages i-ix
  2. Simão Moraes Sarmento, Nuno Horta
    Pages 1-5
  3. Simão Moraes Sarmento, Nuno Horta
    Pages 7-19
  4. Simão Moraes Sarmento, Nuno Horta
    Pages 21-35
  5. Simão Moraes Sarmento, Nuno Horta
    Pages 37-49
  6. Simão Moraes Sarmento, Nuno Horta
    Pages 51-74
  7. Simão Moraes Sarmento, Nuno Horta
    Pages 75-101
  8. Simão Moraes Sarmento, Nuno Horta
    Pages 103-104

About this book

Introduction

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.


Keywords

Pairs Trading Using Machine Learning Pairs Trading Using Deep Learning Pairs Trading Using ETFs Unsupervised Learning Applied in Finance Hedge Funds

Authors and affiliations

  • Simão Moraes Sarmento
    • 1
  • Nuno Horta
    • 2
  1. 1.Instituto de Telecomunicações, ISTUniversity of LisbonLisbonPortugal
  2. 2.Instituto de Telecomunicações, ISTUniversity of LisbonLisbonPortugal

Bibliographic information