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  3. Machine learning

A Machine Learning based Pairs Trading Investment Strategy

Af: Nuno Horta, Simao Moraes Sarmento Engelsk Paperback

A Machine Learning based Pairs Trading Investment Strategy

Af: Nuno Horta, Simao Moraes Sarmento Engelsk Paperback
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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.

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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.

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Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 104
ISBN-13: 9783030472504
Indbinding: Paperback
Udgave:
ISBN-10: 3030472507
Kategori: Machine learning
Udg. Dato: 14 jul 2020
Længde: 10mm
Bredde: 234mm
Højde: 156mm
Forlag: Springer Nature Switzerland AG
Oplagsdato: 14 jul 2020
Forfatter(e): Nuno Horta, Simao Moraes Sarmento
Forfatter(e) Nuno Horta, Simao Moraes Sarmento

Kategori Machine learning

ISBN-13 9783030472504

Sprog Engelsk

Indbinding Paperback

Sider 104

Udgave

Længde 10mm

Bredde 234mm

Højde 156mm

Udg. Dato 14 jul 2020

Oplagsdato 14 jul 2020

Forlag Springer Nature Switzerland AG

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