Classification of the optimal rebalancing frequency for pairs trading using machine learning techniques
Selection of the optimal rebalancing frequency (ORF) is crucial for the pair trading algorithm (PTA) that periodically rebalances the allocation of two assets. This study proposes a machine learning (ML) approach to predict ORF ranges. To improve ML accuracy, pairs were categorized into three subgro...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-12-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845024001583 |
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