References
- Alexakis, C., Long-run relations among equity indices under different market conditions : Implications on the implementation of statistical arbitrage strategies. Journal of International Financial Markets, Institutions and Money, 2010, Vol. 20, No. 4, p 389-403. https://doi.org/10.1016/j.intfin.2010.05.003
- Appel, G., The Moving average convergence-divergence trading method, Scientific Investment Systems, Toronto, 1985.
- Bollerslev, T., Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 1986, Vol. 31, No. 3, p 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
- Daly, K., Financial volatility : Issues and measuring techniques. PHYSICA A, 2008, Vol. 387, No. 11, p 2377-2393. https://doi.org/10.1016/j.physa.2008.01.009
- Dickey D.A. and Fuller, W.A., Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 1979, Vol. 74, No. 366, p 427-429.
- Dimitras, A.I., Slowinski, R., Susmaga, R., and Zopounidis, C., Business failure prediction using rough sets. European Journal of Operational Research, 1999, Vol. 144, No. 2, p 263-280.
- Elliott, R.J., John, V.D.H., and Malcolm, W.P., Pairs trading. Quantitative Finance, 2005, Vol. 5, No. 3, p 271-276. https://doi.org/10.1080/14697680500149370
- Engle, R.F., Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation. Econometrica, 1982, Vol. 50, No. 4, p 987-1008. https://doi.org/10.2307/1912773
- Fung, J.K.W. and Mok, H.M.K., Index Options-Futures Arbitrage : A Comparative Study with Bid/Ask and Transaction Data. The Financial Review, 2001, Vol. 36, No. 1, p 71-94. https://doi.org/10.1111/j.1540-6288.2001.tb00005.x
- Gatev, E.G., Goetzmann, W.N., and Rouwenhorst, K.G., Pairs Trading : Performance of a Relative-Value Arbitrage Rule. The Review of Financial Studies, 2006, Vol. 19, No. 3, p 797-827. https://doi.org/10.1093/rfs/hhj020
- Granger, C.W.J. and Newbold, P., Spurious regression in econometrics. Journal of Econometrics, 1974, Vol. 2, No. 2, p 111-120. https://doi.org/10.1016/0304-4076(74)90034-7
- Henker, T. and Martens, M., Index futures arbitrage before and after the introduction of sixteenths on the NYSE. Journal of Empirical Finance, 2005, Vol. 12, No. 3, p 353-373. https://doi.org/10.1016/j.jempfin.2004.04.006
- Herlemont, D., Pairs Trading, Convergence Trading, Cointegration. YATS Working Papers, YATS Finances and Technology, 2003.
- Hsu, Y.C., Chen, A.P., and Chang, J.H., An inter-market arbitrage trading system based on extended classifier systems. Expert Systems with Applications, 2011, Vol. 38, No. 4, p 3784-3792. https://doi.org/10.1016/j.eswa.2010.09.039
- Jackson, A.G., Pawlak Z., and LeClair, S.R., Rough sets applied to the discovery of materials knowledge. Journal of Alloys and Compounds, 1998, Vol. 279, No. 1, p 14-21. https://doi.org/10.1016/S0925-8388(98)00607-0
- Johansen, S., Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, Vol. 12, No. 2-3, p 231-254.
- Lee, S.J., Ahn, J.J., Oh, K.J., and Kim, T.Y., Using rough set to support investment strategies of real-time trading in futures market. Applied Intelligence, 2010, Vol. 32, No. 3, p 364-377. https://doi.org/10.1007/s10489-008-0150-y
- Montana, G., Triantafyllopoulos, K., and Tsagaris, T., Flexible least squares for temporal data mining and statistical arbitrage. Expert Systems with Applications, 2009, Vol. 36, No. 2, p 2819-2830. https://doi.org/10.1016/j.eswa.2008.01.062
- Murphy, J.J., Technical analysis of the financial markets. Prentice Hall Press, New Jersey, 1999.
- Nicholas, J.G., Market Neutral Investing-Long/Short Hedge Fund Strategies. Bloomberg Press, New York, 2000.
- Ofeck, E. Richardson, M., and Whitelaw, R.F., Limited arbitrage and short sales restrictions : evidence from the options markets. Journal of Financial Economics, 2004, Vol. 74, No. 2, p 305-342. https://doi.org/10.1016/j.jfineco.2003.05.008
- Paul, D. and Fung, J.K.W., A Study of Arbitrage Efficiency between the FTSE-100 Index Futures and Options Contracts. The Journal of Futures Markets, 2002, Vol. 22, No. 1, p 31-58. https://doi.org/10.1002/fut.2206
- Pawlak, Z., Rough set. International Journal of Computer and Information Science, 1982, Vol. 11, No. 5, p 341-356. https://doi.org/10.1007/BF01001956
- Pawlak, Z., Rough set approach to knowledge-based decision support. European Journal of Operational Research, Vol. 99, No. 1, p 48-57.
- Said, S.E. and Dickey, D., Testing for unit roots in autoregressive- moving average models with unknown order. Biometrika, 1984, Vol. 71, No. 3, p 599-607. https://doi.org/10.1093/biomet/71.3.599
- Sharpe, W.F., The Sharpe ratio. Journal of Portfolio Management, 1994, Vol. 21, No. 1, p 49-58. https://doi.org/10.3905/jpm.1994.409501
- Slowinski, R., Zopounidis, C., and Dimitras, A.I., Prediction of company acquisition in Greece by mean of the rough set approach. European Journal of Operational Research, 1997, Vol. 100, No. 1, p 1-15. https://doi.org/10.1016/S0377-2217(96)00110-5
- Song, Q. and Zhang, Q., An optimal pairs-trading rule. Automatica, 2013, Vol. 49, No. 10, p 3007-3014. https://doi.org/10.1016/j.automatica.2013.07.012
- Susmaga, R., Analyzing discretizations of continuous attributes given a monotonic discrimination function. Intelligent Data Analysis, 1997, Vol. 1, p 157-179. https://doi.org/10.1016/S1088-467X(97)00007-3
- Stawicki, S.P., Application of financial analysis techniques to vital sign data : a novel method of trend interpretation in the intensive care unit. OPUS 12 Scientist, 2007, Vol. 1, No. 1, p 14-16.
- Taylor, N., A new econometric model of index arbitrage. European Financial Management, 2007, Vol. 13, No. 1, p 159-183. https://doi.org/10.1111/j.1468-036X.2006.00289.x
- Teddy, S.D., Lai, E.M.K. and Quek, C., A cerebellar associative memory approach to option pricing and arbitrage trading. Neurocomputing, 2008, Vol. 71, No. 16-18, p 3303-3315. https://doi.org/10.1016/j.neucom.2008.04.039
- Yamawaki, M.T. and Tokuoka, S., Adaptive use of technical indicators for the prediction of intra-day stock prices. PHYSICA A, 2007, Vol. 383, No. 1, p 125-133. https://doi.org/10.1016/j.physa.2007.04.126