7 Result(s)
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Article
Hao-Han Chang
English
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Article
Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading
Conventional pairs trading strategies (PTS) exploit the mean-reverting nature of stock pairs with stationary value processes. This paper elevates PTS by integrating trend-stationary value processes, thereby en...
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Open AccessImproving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters
A pairs trading strategy (PTS) constructs a mean-reverting portfolio whose logarithmic value moves back and forth around a mean price level. It makes profits by longing (or shorting) the portfolio when it is u...
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Open AccessCorrection to: A clinical observational study of effectiveness of a solid coupling medium in extracorporeal shock wave lithotripsy
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Open AccessA clinical observational study of effectiveness of a solid coupling medium in extracorporeal shock wave lithotripsy
This study aimed to investigate clinical effectiveness of stone disintegration by using isolation coupling pad (“icPad”) as coupling medium to reduce trapped air pockets during extracorporeal shock wave lithot...
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Open AccessCongenital collagenopathies increased the risk of inguinal hernia develo** and repair: analysis from a nationwide population-based cohort study
Herein, we aimed to explore whether male patients with congenital collagen diseases had a higher risk of inguinal herniation than patients without these diseases. Data were retrospectively collected from the N...
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Structural break-aware pairs trading strategy using deep reinforcement learning
Pairs trading is an effective statistical arbitrage strategy considering the spread of paired stocks in a stable cointegration relationship. Nevertheless, rapid market changes may break the relationship (namely s...
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Analytical pricing formulae for vulnerable vanilla and barrier options
This paper proposes analytically vulnerable vanilla option pricing formulae that simultaneously consider the premature default, the correlation between the underlying asset and the issuer’s asset, and other ou...
