Blar i BI Open på forfatter "Aares, Even Kristoffer"
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Statistical Arbitrage Trading using an unsupervised machine learning approach: is liquidity a predictor of profitability?
Høeg, Anders; Aares, Even Kristoffer (Master thesis, 2021)We test a statistical arbitrage trading strategy, pairs trading, using daily closing prices covering the period 2000 – 2019. Stocks are clustered using an unsupervised machine learning approach and cointegrated stocks ...