Multivariate Pair Trading by Volatility & Model Adaption Trade-off
Portfolio Management
2021-06-18 v1 Computational Engineering, Finance, and Science
Abstract
Pair trading is one of the most discussed topics among financial researches. Despite a growing base of work, portfolio management for multivariate time series is rarely discussed. On the other hand, most researches focus on refining strategy rules instead of finding the optimal portfolio weight. In this paper, we brought up a simple yet profitable strategy called Volatility & Model Adaption Trade-off (VMAT) to leverage the issues. Experiment studies show its superior profit performance over baselines.
Keywords
Cite
@article{arxiv.2106.09132,
title = {Multivariate Pair Trading by Volatility & Model Adaption Trade-off},
author = {Chenyanzi Yu and Tianyang Xie},
journal= {arXiv preprint arXiv:2106.09132},
year = {2021}
}
Comments
Submitting to Journal of Financial Economics