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A Machine Learning based Pairs Trading Investment StrategyIntroduction

A Machine Learning based Pairs Trading Investment Strategy: Introduction [This chapter introduces the topic of Pairs Trading. It covers the motivations for applying such strategy with an example of two famous pairs, (i) Groupe Renault (RNL)/Peugeot (UG) and (ii) Walmart (WML)/Target (TGT). It then proceeds to explain how the strategy can be applied. It simulates a scenario in which a short position is taken, using a real pair adopted in this work. Following the application example, the chapter introduces two problems that may arise when using a Pairs Trading based strategy, formulating the two research questions this work aims to answer. Finally, an outline of this book’s organization is provided.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Machine Learning based Pairs Trading Investment StrategyIntroduction

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Publisher
Springer International Publishing
Copyright
© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2021
ISBN
978-3-030-47250-4
Pages
1 –5
DOI
10.1007/978-3-030-47251-1_1
Publisher site
See Chapter on Publisher Site

Abstract

[This chapter introduces the topic of Pairs Trading. It covers the motivations for applying such strategy with an example of two famous pairs, (i) Groupe Renault (RNL)/Peugeot (UG) and (ii) Walmart (WML)/Target (TGT). It then proceeds to explain how the strategy can be applied. It simulates a scenario in which a short position is taken, using a real pair adopted in this work. Following the application example, the chapter introduces two problems that may arise when using a Pairs Trading based strategy, formulating the two research questions this work aims to answer. Finally, an outline of this book’s organization is provided.]

Published: Jul 14, 2020

Keywords: Pairs Trading; Unsupervised Learning; Time-series forecasting

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