|Abstract: In this paper we propose a pairs trading strategy using the theory of topological data analysis. The proposed strategy is model-free. We use the proposed approach to set the pairs trade initiation and closing threshold. We examine the profitability of the proposed strategy on high-frequency data from the National Stock Exchange in 2018. We also compare the method to a distance based method for pairs trading. We find that the proposed approach is more profitable and profitable for more number of pairs than the distance based method.|
The aim of this special issue is to feature research papers on theory, methodology, and applications of models and methods for recent advances in statistical finance. We encourage submissions presenting original works on statistical, computational, and mathematical approaches to modelling and analysis of financial data. Innovative applications and case studies in financial statistics are welcome, especially related to novel methodological challenges in the treatment of big data and high-frequency data.
This special issue will bring together contributions from practitioners and researchers working on different aspects of statistical methods in finance, with methodological interests encompassing, but not limited to, the following domains:The motivating application areas could be: For More Detail ...
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