Pair trading based on quantile forecasting of smooth transition GARCH models

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• 作者：Cathy W.S. Chen^a ; ^{chenws@mail.fcu.edu.tw} ; Zona Wang^a ; Songsak Sriboonchitta^b ; Sangyeol Lee^c
• 关键词：C11 ; C22 ; C51 ; C53 ; C58
• 刊名：The North American Journal of Economics and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：Complete
• 页码：38-55
• 全文大小：2407 K
• 卷排序：39

文摘

Choose the trading pairs by the minimum squared distance method and expert opinion. Two methods trigger the entry/exit signals to capitalize on market inefficiencies. Trading strategies are from nonlinear time-series and quantile forecasting methods. Combine the pair selection with trading strategies to get strong empirical results. The threshold values and quantile forecasts are obtained via Bayesian MCMC methods.