{"id":"https://openalex.org/W2149073582","doi":"https://doi.org/10.1007/11752912_77","title":"An Intelligent Statistical Arbitrage Trading System","display_name":"An Intelligent Statistical Arbitrage Trading System","publication_year":2006,"publication_date":"2006-01-01","ids":{"openalex":"https://openalex.org/W2149073582","doi":"https://doi.org/10.1007/11752912_77","mag":"2149073582"},"language":"en","primary_location":{"id":"doi:10.1007/11752912_77","is_oa":false,"landing_page_url":"https://doi.org/10.1007/11752912_77","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Nikos S. Thomaidis","orcid":null},"institutions":[{"id":"https://openalex.org/I98805295","display_name":"University of the Aegean","ror":"https://ror.org/03zsp3p94","country_code":"GR","type":"education","lineage":["https://openalex.org/I98805295"]}],"countries":["GR"],"is_corresponding":true,"raw_author_name":"Nikos S. Thomaidis","raw_affiliation_strings":["Decision and Management Engineering Laboratory, Dept. of Financial Engineering & Management, University of the Aegean, Chios, Greece","University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory"],"affiliations":[{"raw_affiliation_string":"Decision and Management Engineering Laboratory, Dept. of Financial Engineering & Management, University of the Aegean, Chios, Greece","institution_ids":["https://openalex.org/I98805295"]},{"raw_affiliation_string":"University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory","institution_ids":["https://openalex.org/I98805295"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008375691","display_name":"Nick Kondakis","orcid":null},"institutions":[{"id":"https://openalex.org/I98805295","display_name":"University of the Aegean","ror":"https://ror.org/03zsp3p94","country_code":"GR","type":"education","lineage":["https://openalex.org/I98805295"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"Nick Kondakis","raw_affiliation_strings":["Decision and Management Engineering Laboratory, Dept. of Financial Engineering & Management, University of the Aegean, Chios, Greece","Kepler Asset Management, New York, USA","NGSQ International, Ltd"],"affiliations":[{"raw_affiliation_string":"Decision and Management Engineering Laboratory, Dept. of Financial Engineering & Management, University of the Aegean, Chios, Greece","institution_ids":["https://openalex.org/I98805295"]},{"raw_affiliation_string":"Kepler Asset Management, New York, USA","institution_ids":[]},{"raw_affiliation_string":"NGSQ International, Ltd","institution_ids":[]}]},{"author_position":"last","author":{"id":null,"display_name":"George D. Dounias","orcid":null},"institutions":[{"id":"https://openalex.org/I98805295","display_name":"University of the Aegean","ror":"https://ror.org/03zsp3p94","country_code":"GR","type":"education","lineage":["https://openalex.org/I98805295"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"George D. Dounias","raw_affiliation_strings":["Decision and Management Engineering Laboratory, Dept. of Financial Engineering & Management, University of the Aegean, Chios, Greece"],"affiliations":[{"raw_affiliation_string":"Decision and Management Engineering Laboratory, Dept. of Financial Engineering & Management, University of the Aegean, Chios, Greece","institution_ids":["https://openalex.org/I98805295"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I98805295"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.14377094,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"596","last_page":"599"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9873999953269958,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9873999953269958,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10320","display_name":"Neural Networks and Applications","score":0.9721999764442444,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9115999937057495,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.9020503759384155},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.6014525294303894},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.5968462824821472},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.5498233437538147},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5382850170135498},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.5371603965759277},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5199945569038391},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.5195111036300659},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.5077789425849915},{"id":"https://openalex.org/keywords/index-arbitrage","display_name":"Index arbitrage","score":0.48555681109428406},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.46935850381851196},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.30161410570144653},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.2714632749557495},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2613968551158905},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.24553242325782776},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.19538471102714539},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.1521211564540863},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.13892167806625366},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.1062069833278656}],"concepts":[{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.9020503759384155},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6014525294303894},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5968462824821472},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5498233437538147},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5382850170135498},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.5371603965759277},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5199945569038391},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.5195111036300659},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.5077789425849915},{"id":"https://openalex.org/C52008547","wikidata":"https://www.wikidata.org/wiki/Q6017830","display_name":"Index arbitrage","level":5,"score":0.48555681109428406},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.46935850381851196},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.30161410570144653},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.2714632749557495},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2613968551158905},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.24553242325782776},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.19538471102714539},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.1521211564540863},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.13892167806625366},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.1062069833278656},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/11752912_77","is_oa":false,"landing_page_url":"https://doi.org/10.1007/11752912_77","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},{"id":"mag:2149073582","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4399999976158142,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":3,"referenced_works":["https://openalex.org/W281513057","https://openalex.org/W4237261607","https://openalex.org/W4247454824"],"related_works":["https://openalex.org/W1996347212","https://openalex.org/W3119697159","https://openalex.org/W71977682","https://openalex.org/W3171521747","https://openalex.org/W3122729814","https://openalex.org/W1858254751","https://openalex.org/W2065455158","https://openalex.org/W115712971","https://openalex.org/W2073194514","https://openalex.org/W2786035075","https://openalex.org/W3139331131","https://openalex.org/W3123912179","https://openalex.org/W2046924264","https://openalex.org/W1571054610","https://openalex.org/W2138158424","https://openalex.org/W2026711836","https://openalex.org/W1981428712","https://openalex.org/W3116582826","https://openalex.org/W2250068747","https://openalex.org/W2052403396"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-04-21T08:09:41.155169","created_date":"2025-10-10T00:00:00"}
