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https://hdl.handle.net/10356/156581
Title: | Machine learning in pair trading | Authors: | Wang, Guanlan | Keywords: | Engineering::Computer science and engineering | Issue Date: | 2022 | Publisher: | Nanyang Technological University | Source: | Wang, G. (2022). Machine learning in pair trading. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/156581 | Abstract: | This research seeks to develop and compare traditional threshold methods and machine learning models applied in pair trading of stocks. Unsupervised machine learning firstly segments stocks into different clusters based on stocks’ return and volatility profile. Stock pairs would be filtered out according to several criteria. Traditional threshold method, XGBoost, and LSTM models are applied to the pair trading mechanism with performance compared. | URI: | https://hdl.handle.net/10356/156581 | Schools: | School of Computer Science and Engineering | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
Appears in Collections: | SCSE Student Reports (FYP/IA/PA/PI) |
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Machine Learning in Pair Trading.pdf Restricted Access | 1.44 MB | Adobe PDF | View/Open |
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