diao et al frontiers of business research in china 2020 14 8 frontiers of business https doi org 10 1186 s11782 020 00076 4 research in china research open access ...
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...Diao et al frontiers of business research in china https doi org s open access on a stock matching trading strategy based bi objective optimization haican guoshan liu and zhuangming zhu correspondence liuguoshan abstract rmbs ruc edu cn school renmin university recent years with strict domestic financial supervision other policy oriented zhongguancun street factors some products are becoming increasingly restricted including nonstandard beijing bank guaranteed wealth management that can provide investors more stable income pairs type has proved efficient many markets worldwide become the focus traditional gatev goetzmann rouwenhorst ggr this paper proposes quadratic programming constraints bqq model under condition ensuring long term equilibrium between paired prices volatility spreads is increased as much possible improving profitability to verify effectiveness we use natural logs daily market indices shanghai proposed back tested compared results show achieve higher rate returns keyw...