A characterization of long-short trading strategies based on cointegration

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn 2003-January, Issue , 2003, Pages 411-416

  Kawasaki, Y ^a   Tachiki, S ^b   Udaka, H ^b   Hirano, T ^b  

^a INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

^b Nikko Principal Investments Japan Ltd ^*  (Japan)

Author keywords

Decision making; Econometrics; Investments; Mathematics; Polynomials; Predictive models; Stochastic processes; Stock markets; Testing; Time series analysis

Indexed keywords

ARTIFICIAL INTELLIGENCE; COMMERCE; DECISION MAKING; ECONOMICS; FINANCIAL MARKETS; INVESTMENTS; MATHEMATICAL TECHNIQUES; POLYNOMIALS; RANDOM PROCESSES; STATISTICS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; TESTING;

COINTEGRATION; ECONOMETRICS; FORECASTING STOCK PRICES; LINEAR COMBINATIONS; PREDICTIVE MODELS; SHORT POSITION; STOCK MARKET; TRADING STRATEGIES;

TIME SERIES ANALYSIS;

EID: 11144250074     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CIFER.2003.1196289     Document Type: Conference Paper

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