Essays about: "Pairs trading"

Showing result 1 - 5 of 37 essays containing the words Pairs trading.

1. 1. CryptoCurrency Time Series analysis : Comparative analysis between LSTM and BART Algorithm

   University essay from Blekinge Tekniska Högskola/Institutionen för datavetenskap

   Author : Lakshmi Vyshnavi Nerella; Chiranjeevi Ponnada; [2023]
   Keywords : ;

   Abstract : Background: Cryptocurrency is an innovative digital or virtual form of money thatuses cryptographic techniques for secured financial transactions within a decentralized structure. Due to its high volatility and susceptibility to external factors, itis difficult to understand its behavior which makes accurate predictions challengingfor the investors who are trying to forecast price changes and make profitable investments. READ MORE

3. 2. Matching Trades with Confirmations via Contrastive Learning : Asymmetric Contrastive Learning on Text Data

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Markus Hector; [2023]
   Keywords : Asymmetric Contrastive Learning; Attention; GloVe; Securities Trading; Asymmetrisk kontrast-inlärning; Uppmärksamhetsmekanism; GloVe; Värdepappershandel;

   Abstract : In the banking world trades of securities are finalized every day, on behalf of the banks themselves or of their clients. When the trades have been booked by the front office the confirmations sent by the counterparty have to be checked and connected to the correct trade by hand, posing the question whether this process could not be automated using machine learning techniques. READ MORE

4. 3. Signal detection of FX Fixing events

   University essay from Uppsala universitet/Avdelningen för beräkningsvetenskap

   Author : Anton Sjöström; [2022]
   Keywords : Machine learning; Deep learning; Trading; Time series;

   Abstract : This master thesis investigates the price dynamics of two currency pairs, GBP/USD and EUR/GBP, during the event called the “London 4 PM Fix”, which is a daily event. The dynamics of this event is understood by first creating a mathematical model to find the theoretical optimal trading strategy given a number of assumptions. READ MORE

5. 4. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : André Aho; Simon Löw; [2022]
   Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

   Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE

6. 5. Singular Value Decomposition as a Method for Analyses and Forecasts of Financial Data

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Axel Gustavsson; [2021]
   Keywords : Singular value decomposition; Technical analysis; Trading strategy; Finance; Business and Economics;

   Abstract : This paper examines the sufficiency of a trading method based on singular value decomposition (SVD) of past stock prices. The SVD method is frequently used as a tool to reduce data noise, compress big-data, and analyse data components. Hence, the method is well suited to form a ground for a predictive tool of price developments. READ MORE