Machine learning in pair trading

• المؤلف الرئيسي: Wang, Guanlan
• مؤلفون آخرون: Bo An
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2022
• الموضوعات: Engineering::Computer science and engineering
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/156581

This research seeks to develop and compare traditional threshold methods and machine learning models applied in pair trading of stocks. Unsupervised machine learning firstly segments stocks into different clusters based on stocks’ return and volatility profile. Stock pairs would be filtered ou...