Determination of the effective cointegration rank in high-dimensional time-series predictive regressions
“The proposed framework consists of a two-step estimation procedure.”
AssetEquities
StrategyPairs tradingmachine learning
TechniqueClassical time series
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
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