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Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, C.W.S.,Wang, Z.,Sriboonchitta, S.,Lee, S. JAI Press for the North American Economics and Fin 2017 NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE Vol.39 No.-
Pair trading is a statistical arbitrage strategy used on similar assets with dissimilar valuations. We utilize smooth transition heteroskedastic models with a second-order logistic function to generate trading entry and exit signals and suggest two pair trading strategies: the first uses the upper and lower threshold values in the proposed model as trading entry and exit signals, while the second strategy instead takes one-step-ahead quantile forecasts obtained from the same model. We employ Bayesian Markov chain Monte Carlo sampling methods for updating the estimates and quantile forecasts. As an illustration, we conduct a simulation study and empirical analysis of the daily stock returns of 36 stocks from U.S. stock markets. We use the minimum square distance method to select ten stock pairs, choose additional five pairs consisting of two companies in the same industrial sector, and then finally consider pair trading profits for two out-of-sample periods in 2014 within a six-month time frame as well as for the entire year. The proposed strategies yield average annualized returns of at least 35.5% without a transaction cost and at least 18.4% with a transaction cost.
Hai Q. Dinh,Bac Trong Nguyen,Songsak Sriboonchitta 대한수학회 2018 대한수학회보 Vol.55 No.4
The aim of this paper is to study the class of $\Lambda$-constacyclic codes of length $2p^s$ over the finite commutative chain ring ${\mathcal R}_a=\frac{\mathbb F_{p^m}[u]}{\left\langle u^a \right\rangle}=\mathbb F_{p^m} + u \mathbb F_{p^m}+ \dots + u^{a-1}\mathbb F_{p^m}$, for all units $\Lambda$ of $\mathcal R_a$ that have the form $\Lambda=\Lambda_0+u\Lambda_1+\dots+u^{a-1}\Lambda_{a-1}$, where $\Lambda_0, \Lambda_1, \dots, \Lambda_{a-1} \in \mathbb F_{p^m}$, $\Lambda_0 \,{\not=}\, 0, \, \Lambda_1 \,{\not=}\, 0$. The algebraic structure of all $\Lambda$-constacyclic codes of length $2p^s$ over ${\mathcal R}_a$ and their duals are established. As an application, this structure is used to determine the Rosenbloom-Tsfasman (RT) distance and weight distributions of all such codes. Among such constacyclic codes, the unique MDS code with respect to the RT distance is obtained.
SKEW CONSTACYCLIC CODES OVER FINITE COMMUTATIVE SEMI-SIMPLE RINGS
Dinh, Hai Q.,Nguyen, Bac Trong,Sriboonchitta, Songsak Korean Mathematical Society 2019 대한수학회보 Vol.56 No.2
This paper investigates skew ${\Theta}-{\lambda}$-constacyclic codes over $R=F_0{\oplus}F_1{\oplus}{\cdots}{\oplus}F_{k-1}$, where $F{_i}^{\prime}s$ are finite fields. The structures of skew ${\lambda}$-constacyclic codes over finite commutative semi-simple rings and their duals are provided. Moreover, skew ${\lambda}$-constacyclic codes of arbitrary length are studied under a new definition. We also show that a skew cyclic code of arbitrary length over finite commutative semi-simple rings is equivalent to either a cyclic code over R or a quasi-cyclic code over R.
Skew constacyclic codes over finite commutative semi-simple rings
Hai Q. Dinh,Bac Trong Nguyen,Songsak Sriboonchitta 대한수학회 2019 대한수학회보 Vol.56 No.2
This paper investigates skew $\Theta$-$\lambda$-constacyclic codes over $R={\bf F}_0\oplus {\bf F}_1 \oplus \cdots \oplus {\bf F}_{k-1}$, where ${\bf F}_i$'s are finite fields. The structures of skew $\lambda$-constacyclic codes over finite commutative semi-simple rings and their duals are provided. Moreover, skew $\lambda$-constacyclic codes of arbitrary length are studied under a new definition. We also show that a skew cyclic code of arbitrary length over finite commutative semi-simple rings is equivalent to either a cyclic code over $R$ or a quasi-cyclic code over $R$.
Dinh, Hai Q.,Nguyen, Bac Trong,Sriboonchitta, Songsak Korean Mathematical Society 2018 대한수학회보 Vol.55 No.4
The aim of this paper is to study the class of ${\Lambda}$-constacyclic codes of length $2p^s$ over the finite commutative chain ring ${\mathcal{R}}_a=\frac{{\mathbb{F}_{p^m}}[u]}{{\langle}u^a{\rangle}}={\mathbb{F}}_{p^m}+u{\mathbb{F}}_{p^m}+{\cdots}+u^{a-1}{\mathbb{F}}_{p^m}$, for all units ${\Lambda}$ of ${\mathcal{R}}_a$ that have the form ${\Lambda}={\Lambda}_0+u{\Lambda}_1+{\cdots}+u^{a-1}{\Lambda}_{a-1}$, where ${\Lambda}_0,{\Lambda}_1,{\cdots},{\Lambda}_{a-1}{\in}{\mathbb{F}}_{p^m}$, ${\Lambda}_0{\neq}0$, ${\Lambda}_1{\neq}0$. The algebraic structure of all ${\Lambda}$-constacyclic codes of length $2p^s$ over ${\mathcal{R}}_a$ and their duals are established. As an application, this structure is used to determine the Rosenbloom-Tsfasman (RT) distance and weight distributions of all such codes. Among such constacyclic codes, the unique MDS code with respect to the RT distance is obtained.