{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T16:15:17Z","timestamp":1747152917750,"version":"3.40.5"},"publisher-location":"Cham","reference-count":26,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783030472504"},{"type":"electronic","value":"9783030472511"}],"license":[{"start":{"date-parts":[[2020,7,14]],"date-time":"2020-07-14T00:00:00Z","timestamp":1594684800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2020,7,14]],"date-time":"2020-07-14T00:00:00Z","timestamp":1594684800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2021]]},"DOI":"10.1007\/978-3-030-47251-1_2","type":"book-chapter","created":{"date-parts":[[2020,7,13]],"date-time":"2020-07-13T06:03:37Z","timestamp":1594620217000},"page":"7-19","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Pairs Trading\u2014Background and Related Work"],"prefix":"10.1007","author":[{"given":"Sim\u00e3o","family":"Moraes Sarmento","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1687-1447","authenticated-orcid":false,"given":"Nuno","family":"Horta","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2020,7,14]]},"reference":[{"key":"2_CR1","unstructured":"Adhikari R, Agrawal RK (2013) An introductory study on time series modeling and forecasting. arXiv:13026613"},{"key":"2_CR2","doi-asserted-by":"crossref","unstructured":"Armstrong JS (2001) Principles of forecasting: a handbook for researchers and practitioners, vol\u00a030. Springer Science & Business Media, Berlin","DOI":"10.1007\/978-0-306-47630-3"},{"key":"2_CR3","doi-asserted-by":"crossref","unstructured":"Caldeira J, Moura GV (2013) Selection of a portfolio of pairs based on cointegration: a statistical arbitrage strategy. Available at SSRN 2196391","DOI":"10.2139\/ssrn.2196391"},{"key":"2_CR4","doi-asserted-by":"publisher","first-page":"194","DOI":"10.1016\/j.eswa.2016.02.006","volume":"55","author":"RC Cavalcante","year":"2016","unstructured":"Cavalcante RC, Brasileiro RC, Souza VL, Nobrega JP, Oliveira AL (2016) Computational intelligence and financial markets: a survey and future directions. Expert Syst Appl 55:194\u2013211","journal-title":"Expert Syst Appl"},{"key":"2_CR5","doi-asserted-by":"crossref","unstructured":"Chan E (2013) Algorithmic trading: winning strategies and their rationale, vol 625. Wiley, New York","DOI":"10.1002\/9781118676998"},{"key":"2_CR6","unstructured":"Chen H, Chen S, Chen Z, Li F (2017) Empirical investigation of an equity pairs trading strategy. Management Science"},{"issue":"366a","key":"2_CR7","doi-asserted-by":"publisher","first-page":"427","DOI":"10.1080\/01621459.1979.10482531","volume":"74","author":"DA Dickey","year":"1979","unstructured":"Dickey DA, Fuller WA (1979) Distribution of the estimators for autoregressive time series with a unit root. J Am Stat Assoc 74(366a):427\u2013431","journal-title":"J Am Stat Assoc"},{"key":"2_CR8","doi-asserted-by":"publisher","unstructured":"Do B, Faff R (2010) Does simple pairs trading still work? Financ Anal J 66(4):83\u201395. https:\/\/doi.org\/10.2469\/faj.v66.n4.1","DOI":"10.2469\/faj.v66.n4.1"},{"issue":"1\u20132","key":"2_CR9","doi-asserted-by":"publisher","first-page":"126","DOI":"10.1057\/palgrave.dutr.1840046","volume":"12","author":"CL Dunis","year":"2006","unstructured":"Dunis CL, Laws J, Evans B (2006) Modelling and trading the gasoline crack spread: a non-linear story. Deriv Use Trading Regul 12(1\u20132):126\u2013145","journal-title":"Deriv Use Trading Regul"},{"key":"2_CR10","doi-asserted-by":"crossref","unstructured":"Dunis CL, Laws J, Evans B (2009) Modelling and trading the soybean-oil crush spread with recurrent and higher order networks: a comparative analysis. In: Artificial higher order neural networks for economics and business, IGI Global, pp 348\u2013366","DOI":"10.4018\/978-1-59904-897-0.ch016"},{"key":"2_CR11","unstructured":"Dunis CL, Giorgioni G, Laws J, Rudy J (2010) Statistical arbitrage and high-frequency data with an application to eurostoxx 50 equities. Liverpool Business School, Working paper"},{"issue":"4","key":"2_CR12","doi-asserted-by":"publisher","first-page":"352","DOI":"10.1080\/1351847X.2013.830140","volume":"21","author":"CL Dunis","year":"2015","unstructured":"Dunis CL, Laws J, Middleton PW, Karathanasopoulos A (2015) Trading and hedging the corn\/ethanol crush spread using time-varying leverage and nonlinear models. Eur J Financ 21(4):352\u2013375","journal-title":"Eur J Financ"},{"key":"2_CR13","doi-asserted-by":"crossref","unstructured":"Elliott RJ, Der Van, Hoek* J, Malcolm WP, (2005) Pairs trading. Quant Financ 5(3):271\u2013276","DOI":"10.1080\/14697680500149370"},{"key":"2_CR14","unstructured":"Engle RF, Granger CW (1987) Co-integration and error correction: representation, estimation, and testing. Econ: J Econo Soc 251\u2013276"},{"key":"2_CR15","doi-asserted-by":"crossref","unstructured":"Gatev E, Goetzmann WN, Rouwenhorst KG (2006) Pairs trading: performance of a relative-value arbitrage rule. Rev Financ Stud 19(3):797\u2013827","DOI":"10.1093\/rfs\/hhj020"},{"key":"2_CR16","doi-asserted-by":"crossref","unstructured":"Huck N (2009) Pairs selection and outranking: An application to the s&p 100 index. Eur J Oper Res 196(2):819\u2013825","DOI":"10.1016\/j.ejor.2008.03.025"},{"key":"2_CR17","doi-asserted-by":"publisher","unstructured":"Huck N, Afawubo K (2015) Pairs trading and selection methods: is cointegration superior? Appl Econ 47(6):599\u2013613. https:\/\/doi.org\/10.1080\/00036846.2014.975417","DOI":"10.1080\/00036846.2014.975417"},{"key":"2_CR18","doi-asserted-by":"crossref","unstructured":"Huck N (2010) Pairs trading and outranking: The multi-step-ahead forecasting case. Eur J Oper Res 207(3):1702\u20131716","DOI":"10.1016\/j.ejor.2010.06.043"},{"key":"2_CR19","doi-asserted-by":"crossref","unstructured":"Hurst HE (1951) Long-term storage capacity of reservoirs. Trans Am Soc Civil Eng 116:770\u2013799","DOI":"10.1061\/TACEAT.0006518"},{"key":"2_CR20","doi-asserted-by":"crossref","unstructured":"Krauss C (2017) Statistical arbitrage pairs trading strategies: review and outlook. J Econ Surv 31(2):513\u2013545","DOI":"10.1111\/joes.12153"},{"key":"2_CR21","doi-asserted-by":"crossref","unstructured":"Krauss C, Do XA, Huck N (2017) Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the s&p 500. Eur J Oper Res 259(2):689\u2013702","DOI":"10.1016\/j.ejor.2016.10.031"},{"key":"2_CR22","doi-asserted-by":"publisher","unstructured":"Rad H, Low RKY, Faff R (2016) The profitability of pairs trading strategies: distance, cointegration and copula methods. Quant Financ 16(10):1541\u20131558. https:\/\/doi.org\/10.1080\/14697688.2016.1164337","DOI":"10.1080\/14697688.2016.1164337"},{"key":"2_CR23","doi-asserted-by":"crossref","unstructured":"Ramos-Requena J, Trinidad-Segovia J, S\u00e1nchez-Granero M (2017) Introducing hurst exponent in pair trading. Phys A: Stat Mech Appl 488:39\u201345","DOI":"10.1016\/j.physa.2017.06.032"},{"key":"2_CR24","doi-asserted-by":"crossref","unstructured":"Thomaidis NS, Kondakis N, Dounias G (2006) An intelligent statistical arbitrage trading system. In: SETN","DOI":"10.1007\/11752912_77"},{"key":"2_CR25","unstructured":"Vempala S (2005) Geometric random walks: a survey"},{"key":"2_CR26","unstructured":"Vidyamurthy G (2004) Pairs trading: quantitative methods and analysis, vol 217. Wiley"}],"container-title":["SpringerBriefs in Applied Sciences and Technology","A Machine Learning based Pairs Trading Investment Strategy"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-030-47251-1_2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,3,24]],"date-time":"2021-03-24T18:42:28Z","timestamp":1616611348000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-030-47251-1_2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,7,14]]},"ISBN":["9783030472504","9783030472511"],"references-count":26,"URL":"https:\/\/doi.org\/10.1007\/978-3-030-47251-1_2","relation":{},"ISSN":["2191-530X","2191-5318"],"issn-type":[{"type":"print","value":"2191-530X"},{"type":"electronic","value":"2191-5318"}],"subject":[],"published":{"date-parts":[[2020,7,14]]},"assertion":[{"value":"14 July 2020","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}}]}}