Event submissions
Published
This submission belongs to the session S1. Machine Learning in Economics and Finance of the event The 1st International Online Conference on Risk and Financial Management
Published date
13 Jun, 2025
Academic Editor
'%3e%3cpath%20d='M12.6657%2010.9104C12.4185%2010.325%2012.0599%209.79327%2011.6097%209.34482C11.1609%208.89508%2010.6293%208.5365%2010.0442%208.28888C10.0389%208.28626%2010.0337%208.28495%2010.0285%208.28233C10.8446%207.69279%2011.3752%206.73249%2011.3752%205.64904C11.3752%203.8542%209.92103%202.39999%208.1262%202.39999C6.33136%202.39999%204.87715%203.8542%204.87715%205.64904C4.87715%206.73249%205.40774%207.69279%206.22393%208.28364C6.21869%208.28626%206.21345%208.28757%206.20821%208.29019C5.62129%208.5378%205.09463%208.89284%204.64265%209.34613C4.1929%209.79493%203.83432%2010.3266%203.58671%2010.9117C3.34345%2011.4845%203.21226%2012.0987%203.20023%2012.7209C3.19988%2012.7349%203.20233%2012.7488%203.20744%2012.7619C3.21255%2012.7749%203.22022%2012.7867%203.22998%2012.7968C3.23975%2012.8068%203.25142%2012.8147%203.26431%2012.8202C3.2772%2012.8256%203.29105%2012.8284%203.30504%2012.8284H4.09109C4.14874%2012.8284%204.19459%2012.7825%204.1959%2012.7262C4.2221%2011.7148%204.62823%2010.7676%205.34617%2010.0497C6.08899%209.30683%207.0755%208.89808%208.1262%208.89808C9.17689%208.89808%2010.1634%209.30683%2010.9062%2010.0497C11.6242%2010.7676%2012.0303%2011.7148%2012.0565%2012.7262C12.0578%2012.7838%2012.1037%2012.8284%2012.1613%2012.8284H12.9474C12.9613%2012.8284%2012.9752%2012.8256%2012.9881%2012.8202C13.001%2012.8147%2013.0126%2012.8068%2013.0224%2012.7968C13.0322%2012.7867%2013.0398%2012.7749%2013.0449%2012.7619C13.0501%2012.7488%2013.0525%2012.7349%2013.0522%2012.7209C13.0391%2012.0947%2012.9094%2011.4855%2012.6657%2010.9104ZM8.1262%207.9024C7.52486%207.9024%206.9589%207.6679%206.53312%207.24211C6.10733%206.81633%205.87283%206.25037%205.87283%205.64904C5.87283%205.0477%206.10733%204.48174%206.53312%204.05596C6.9589%203.63018%207.52486%203.39567%208.1262%203.39567C8.72753%203.39567%209.29349%203.63018%209.71927%204.05596C10.1451%204.48174%2010.3796%205.0477%2010.3796%205.64904C10.3796%206.25037%2010.1451%206.81633%209.71927%207.24211C9.29349%207.6679%208.72753%207.9024%208.1262%207.9024Z'%20fill='%235D1EE1'/%3e%3c/g%3e%3c/svg%3e)
Thanasis StengosCitation
Jesus Villota, Pair Trading a Sparse Synthetic Control, in Proceedings of The 1st International Online Conference on Risk and Financial Management, 17 June–18 June 2025, MDPI: Basel, Switzerland
Share
Email
Facebook
Twitter
LinkedIn
Pair Trading a Sparse Synthetic Control
'%3e%3cpath%20d='M12.6647%2010.9104C12.4176%2010.325%2012.0589%209.7933%2011.6088%209.34485C11.16%208.89511%2010.6283%208.53653%2010.0432%208.28891C10.038%208.28629%2010.0327%208.28498%2010.0275%208.28236C10.8437%207.69282%2011.3743%206.73252%2011.3743%205.64907C11.3743%203.85423%209.92005%202.40002%208.12522%202.40002C6.33038%202.40002%204.87618%203.85423%204.87618%205.64907C4.87618%206.73252%205.40677%207.69282%206.22296%208.28367C6.21772%208.28629%206.21248%208.2876%206.20724%208.29022C5.62031%208.53783%205.09365%208.89287%204.64167%209.34616C4.19192%209.79496%203.83334%2010.3266%203.58573%2010.9117C3.34247%2011.4846%203.21128%2012.0987%203.19925%2012.721C3.1989%2012.735%203.20135%2012.7489%203.20646%2012.7619C3.21157%2012.7749%203.21924%2012.7868%203.22901%2012.7968C3.23877%2012.8068%203.25045%2012.8148%203.26334%2012.8202C3.27623%2012.8256%203.29007%2012.8284%203.30406%2012.8284H4.09012C4.14776%2012.8284%204.19362%2012.7825%204.19493%2012.7262C4.22113%2011.7148%204.62726%2010.7676%205.34519%2010.0497C6.08802%209.30686%207.07452%208.89811%208.12522%208.89811C9.17592%208.89811%2010.1624%209.30686%2010.9052%2010.0497C11.6232%2010.7676%2012.0293%2011.7148%2012.0555%2012.7262C12.0568%2012.7839%2012.1027%2012.8284%2012.1603%2012.8284H12.9464C12.9604%2012.8284%2012.9742%2012.8256%2012.9871%2012.8202C13%2012.8148%2013.0117%2012.8068%2013.0214%2012.7968C13.0312%2012.7868%2013.0389%2012.7749%2013.044%2012.7619C13.0491%2012.7489%2013.0515%2012.735%2013.0512%2012.721C13.0381%2012.0947%2012.9084%2011.4856%2012.6647%2010.9104ZM8.12522%207.90243C7.52388%207.90243%206.95792%207.66793%206.53214%207.24215C6.10636%206.81636%205.87185%206.2504%205.87185%205.64907C5.87185%205.04773%206.10636%204.48177%206.53214%204.05599C6.95792%203.63021%207.52388%203.3957%208.12522%203.3957C8.72655%203.3957%209.29252%203.63021%209.7183%204.05599C10.1441%204.48177%2010.3786%205.04773%2010.3786%205.64907C10.3786%206.2504%2010.1441%206.81636%209.7183%207.24215C9.29252%207.66793%208.72655%207.90243%208.12522%207.90243Z'%20fill='%235D1EE1'/%3e%3c/g%3e%3c/svg%3e)
Jesus Villota 1
1. Department of Finance, Center for Monetary and Financial Studies (CEMFI), Madrid, Spain
Abstract
Keywords
Pairs Trading
Sparse
Synthetic Control
Copula
Basket trading