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Multi-asset pair-trading strategy: A statistical learning approach
Institution:1. Department of Applied Mathematics, Feng Chia University, Taichung 40724, Taiwan;2. Department of Statistics, Feng Chia University, Taichung 40724, Taiwan;1. College of Business and Economics, California State University, East Bay, Hayward, CA 94588, USA;2. Department of Business, Penn State University Abington, Abington, PA 19001, USA;3. Federal Government of Brazil, Ministry of the Economy, Brazil;1. Department of Mathematics and Information Technology, Education University of Hong Kong, Tai Po, Hong Kong;2. Department of Statistics, The Chinese University of Hong Kong, Shatin, Hong Kong;1. Business School, Hunan University, Changsha 410082, China;2. Center for Resource and Environmental Management, Hunan University, Changsha 410082, China;3. Adnan Kassar School of Business, Lebanese American University, Lebanon;4. Department of Economics, University of Pretoria, Pretoria 0002, South Africa;1. Department of Finance, Feng Chia University, No. 100 Wenhwa Rd., Situn, Taichung, 40724, Taiwan;2. Institute of Finance, National Chiao Tung University, No. 1001 Ta Hsueh Road, Hsinchu 300, Taiwan
Abstract:
Keywords:Exponentially weighted moving average (EWMA) model  GARCH model  Multiple pair assets  Predictive function  Tolerance interval  Volatility forecast
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