{"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":1747152917695,"version":"3.40.5"},"publisher-location":"Cham","reference-count":13,"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_3","type":"book-chapter","created":{"date-parts":[[2020,7,13]],"date-time":"2020-07-13T06:03:37Z","timestamp":1594620217000},"page":"21-35","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Proposed Pairs Selection Framework"],"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":"3_CR1","doi-asserted-by":"crossref","unstructured":"Ankerst M, Breunig MM, Kriegel HP, Sander J (1999) Optics: ordering points to identify the clustering structure. ACM Sigmod Rec 28:49\u201360. ACM","DOI":"10.1145\/304181.304187"},{"key":"3_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"},{"issue":"7","key":"3_CR3","doi-asserted-by":"publisher","first-page":"761","DOI":"10.1080\/14697680903124632","volume":"10","author":"M Avellaneda","year":"2010","unstructured":"Avellaneda M, Lee JH (2010) Statistical arbitrage in the us equities market. Quant Financ 10(7):761\u2013782","journal-title":"Quant Financ"},{"issue":"3731","key":"3_CR4","doi-asserted-by":"publisher","first-page":"34","DOI":"10.1126\/science.153.3731.34","volume":"153","author":"R Bellman","year":"1966","unstructured":"Bellman R (1966) Dynamic programming. Science 153(3731):34\u201337","journal-title":"Science"},{"key":"3_CR5","doi-asserted-by":"crossref","unstructured":"Berkhin P (2006) A survey of clustering data mining techniques. In: Grouping multidimensional data. Springer, pp 25\u201371","DOI":"10.1007\/3-540-28349-8_2"},{"key":"3_CR6","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":"3_CR7","unstructured":"Ester M, Kriegel HP, Sander J, Xu X (1996) A density-based algorithm for discovering clusters in large spatial databases with noise"},{"key":"3_CR8","unstructured":"Harlacher M (2016) Cointegration based algorithmic pairs trading. PhD thesis, University of St. Gallen"},{"key":"3_CR9","doi-asserted-by":"crossref","unstructured":"Jolliffe I (2011) Principal component analysis. Springer, Berlin","DOI":"10.1007\/978-3-642-04898-2_455"},{"key":"3_CR10","unstructured":"MacQueen J et al (1967) Some methods for classification and analysis of multivariate observations. In: Proceedings of the fifth Berkeley symposium on mathematical statistics and probability, vol 1, Oakland, CA, USA, pp 281\u2013297"},{"key":"3_CR11","doi-asserted-by":"publisher","first-page":"39","DOI":"10.1016\/j.physa.2017.06.032","volume":"488","author":"J Ramos-Requena","year":"2017","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","journal-title":"Phys A: Stat Mech Appl"},{"key":"3_CR12","doi-asserted-by":"crossref","unstructured":"Ross SA (2013) The arbitrage theory of capital asset pricing. In: Handbook of the fundamentals of financial decision making: Part I. World Scientific, Singapore, pp 11\u201330","DOI":"10.1142\/9789814417358_0001"},{"key":"3_CR13","doi-asserted-by":"publisher","first-page":"53","DOI":"10.1016\/0377-0427(87)90125-7","volume":"20","author":"PJ Rousseeuw","year":"1987","unstructured":"Rousseeuw PJ (1987) Silhouettes: a graphical aid to the interpretation and validation of cluster analysis. J Comput Appl Math 20:53\u201365","journal-title":"J Comput Appl Math"}],"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_3","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,7,13]],"date-time":"2020-07-13T06:11:14Z","timestamp":1594620674000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-030-47251-1_3"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,7,14]]},"ISBN":["9783030472504","9783030472511"],"references-count":13,"URL":"https:\/\/doi.org\/10.1007\/978-3-030-47251-1_3","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"}}]}}