Using ARFIMA Model to Calculate and Forecast Realized Volatility of High Frequency Stock Market Index Data

2012 ◽  
pp. 427-434
Author(s):  
Yulin Ma ◽  
Xia Li ◽  
Jing Zhao ◽  
Dengyue Luo
Keyword(s):  
Stock Market ◽  
High Frequency ◽  
Realized Volatility ◽  
Stock Market Index ◽  
Index Data ◽  
Market Index ◽  
Arfima Model

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

Oil Price and Stock Market Index, the Case of GCC Countries

2012 ◽  
Author(s):  
Mazen Marwan Mardini ◽  
Talal Omar Fawzi Bayazeed
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Gcc Countries
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