Multivariate Pair Trading by Volatility & Model Adaption Trade-off.

Chenyanzi Yu Tianyang Xie

Published in: CoRR (2021)

Keyphrases

trade off
computational model
high level
hybrid model
formal model
prior knowledge
probabilistic model
theoretical analysis
statistical model
long term
multi objective
short term
conceptual model
similarity measure
prediction model
knowledge base
garch model
dependence structure