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NTIS 바로가기Journal of Korean Society of Industrial and Systems Engineering = 한국산업경영시스템학회지, v.45 no.3, 2022년, pp.123 - 130
조풍진 (한양대학교 산업공학과) , 이민혁 (부산대학교 경영학부) , 송재욱 (한양대학교 산업공학과)
Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. Th...
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