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Research at St Andrews

Pairs Trading, Technical Analysis and Data Snooping: Mean Reversion vs. Momentum

Research output: Book/ReportCommissioned report

Author(s)

Ioannis Psaradellis, Jason Laws, Athanasios Pantelous, Georgios Sermpinis

School/Research organisations

Details

Original languageEnglish
PublisherJ.P. Morgan Center for Commodities, University of Colorado, Denver Business School
Volume3
Publication statusPublished - 1 Jun 2018

Publication series

NameGlobal Commodities Applied Research Digest
PublisherJ.P. Morgan Center for Commodities, University of Colorado, Denver Business School
No.1
Volume3

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  1. Performance of technical trading rules: evidence from the crude oil market

    Psaradellis, I., Laws, J., Pantelous, A. & Sermpinis, G., 22 Nov 2019, In : European Journal of Finance. 25, 17, p. 1793-1815 23 p.

    Research output: Contribution to journalArticle

  2. Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices

    Psaradellis, I. & Sermpinis, G., Oct 2016, In : International Journal of Forecasting. 32, 4, p. 1268-1283

    Research output: Contribution to journalArticle

  3. Krill-Herd support vector regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities

    Stasinakis, C., Sermpinis, G., Psaradellis, I. & Verousis, T., 2016, In : Quantitative Finance. 16, 12

    Research output: Contribution to journalArticle

ID: 254303050

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