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Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Двойна търговия (статистически арбитраж)× | Вълнов анализ на финансови времеви редове× | |
|---|---|---|
| Област | Финанси | Финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 2006 | 2001 |
| Създател≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Gençay, Selçuk & Whitcher; Aguiar-Conraria & Soares |
| Тип≠ | Cointegration-based mean-reversion trading strategy | Time-frequency decomposition |
| Основополагащ източник≠ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. DOI ↗ | Gençay, R., Selçuk, F. & Whitcher, B. (2001). An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. Academic Press. DOI ↗ |
| Други названия | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) | wavelet coherence, continuous wavelet transform, time-frequency analysis, Dalgacık (Wavelet) Finansal Analiz |
| Свързани≠ | 5 | 1 |
| Резюме≠ | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). | Wavelet financial analysis decomposes a financial time series into different frequency bands (time scales) so short- and long-term relationships can be studied at the same time. Drawing on the treatments of Gençay, Selçuk and Whitcher (2001) and Aguiar-Conraria and Soares (2014), wavelet coherence then visualises how the relationship between two series shifts across both time and frequency. |
| ScholarGateНабор от данни ↗ |
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