The Implementation of Support Vector Machine into Pairs Trading Strategy
DOI:
https://doi.org/10.54097/fbem.v4i3.1287Keywords:
SVM, Pairs Trading Strategy.Abstract
Academia has considerable delves into the investment strategy of the stock market. Typically, pairs trading is one of the familiar strategies. To optimize the performance of pairs trading strategy, accurate methods for price prediction should be employed and thesupport vector machine (SVM) is a typical one. This passage focuses on China stock market, demonstrating how the SVMclassifiers assist pairs trading strategy. The time period of data is from 2020-01-01 to 2022-07-01. All of the quantitative tasks are completed in Python language in Jupyter Notebook.
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