Cet article appartient au dossier : ESCP Applied Research Papers 14.


Machine Learning Applied For Pairs Trading

This article deals with machine learning applied for pairs trading. Pairs trading is a hybrid investment category combining the advantages of long/short strategies and of the decorrelation to the markets.

G1 et G2


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Cet article est extrait de
Banque & Stratégie n°393

ESCP Applied research papers 14

The goal of this thesis is composed of two main parts: the filtering part that eliminates a majority of pairs, and the implementation of the trading strategy. Pair trading is known as market neutral strategy therefore we can neglect beta of the market and generate uncorrelated returns (alpha) with minimal exposure to the market, the identification of pairs and implementation are complex, and the cointegration relationship that allow to characterize the good pairs can break in a short period of time.While pairs can be chosen either based on fundamentals or statistics, an approach combining ...
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