Zhaodong He

Durham University

Mill Hill Lane

Durham, Durham DH1 3HP

United Kingdom

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“  I'm currently working on asset pricing with machine learning.  ”

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Pairs Trading via Unsupervised Learning

Number of pages: 41 Posted: 04 May 2021 Last Revised: 07 Jun 2021
Chulwoo Han, Zhaodong He and Alenson Jun Wei Toh
Sungkyunkwan University, Durham University and Nanyang Technological University
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Abstract:

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Unsupervised learning, Pairs trading, K-means clustering, DBSCAN, Agglomerative clustering