Online Structural Break Detection for Pairs Trading Using Wavelet Transform and Hybrid Deep Learning Model

Shen-Hang Huang, Wen-Yueh Shih, Jing-You Lu, Hao Han Chang, Chao-Hsien Chu, Jun-Zhe Wang, Jiun-Long Huang, Tian-Shyr Dai. Online Structural Break Detection for Pairs Trading Using Wavelet Transform and Hybrid Deep Learning Model. In 2020 IEEE International Conference on Big Data and Smart Computing, BigComp 2020, Busan, Korea (South), February 19-22, 2020. pages 209-216, IEEE, 2020. [doi]

Abstract

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