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Machine Learning in Pairs Trading Strategy by Kylian M is a document available to read on EtoBox.
What is Machine Learning in Pairs Trading Strategy about?
1) The document discusses enhancing a pairs trading strategy with machine learning techniques. Pairs trading involves identifying two assets whose prices historically move together and taking long and short positions when the spread between their prices deviates from the historical mean. 2) Two problems are addressed: how to find profitable pairs while constraining the search space, and how to avoid long decline periods from pairs that remain divergent. The authors propose using an unsupervised learning a
- Author
- Kylian M
- Language
- EN