An Advanced Optimization Approach for Long-Short Pairs Trading Strategy Based on Correlation Coefficients and Bollinger Bands

An Advanced Optimization Approach for Long-Short Pairs Trading Strategy Based on Correlation Coefficients and Bollinger Bands

In the financial market, commodity prices change over time, yielding profit opportunities. Various trading strategies have been proposed to yield good earnings. Pairs trading is one such critical, widely-used strategy with good effect. Given two highly correlated paired target stocks, the strategy s...

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Bibliographic Details
Main Authors: Chun-Hao Chen, Wei-Hsun Lai, Shih-Ting Hung, Tzung-Pei Hong
Format: Article
Language:English
Published: MDPI AG 2022-01-01
Series:Applied Sciences
Subjects:
Bollinger Bands
correlation coefficient
genetic algorithm
pairs trading strategy
trading strategy optimization
Online Access:https://www.mdpi.com/2076-3417/12/3/1052

Internet

https://www.mdpi.com/2076-3417/12/3/1052

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