{"id":"https://openalex.org/W2964757406","doi":"https://doi.org/10.1109/icphys.2019.8780281","title":"Better predictability of arbitrage strategies trained among less attentionstocks","display_name":"Better predictability of arbitrage strategies trained among less attentionstocks","publication_year":2019,"publication_date":"2019-05-01","ids":{"openalex":"https://openalex.org/W2964757406","doi":"https://doi.org/10.1109/icphys.2019.8780281","mag":"2964757406"},"language":"en","primary_location":{"id":"doi:10.1109/icphys.2019.8780281","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icphys.2019.8780281","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE International Conference on Industrial Cyber Physical Systems (ICPS)","raw_type":"proceedings-article"},"type":"conference-paper","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":"https://openalex.org/A5101903647","display_name":"Jie Fang","orcid":"https://orcid.org/0000-0003-2030-9147"},"institutions":[{"id":"https://openalex.org/I4210114105","display_name":"Tsinghua\u2013Berkeley Shenzhen Institute","ror":"https://ror.org/02hhwwz98","country_code":"CN","type":"facility","lineage":["https://openalex.org/I4210114105","https://openalex.org/I95457486","https://openalex.org/I99065089"]},{"id":"https://openalex.org/I99065089","display_name":"Tsinghua University","ror":"https://ror.org/03cve4549","country_code":"CN","type":"education","lineage":["https://openalex.org/I99065089"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jie Fang","raw_affiliation_strings":["Tsinghua Berkeley Shenzhen Institution, Tsinghua University, Shenzhen, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Tsinghua Berkeley Shenzhen Institution, Tsinghua University, Shenzhen, China","institution_ids":["https://openalex.org/I4210114105","https://openalex.org/I99065089"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100635624","display_name":"Jianwu Lin","orcid":"https://orcid.org/0000-0002-0137-451X"},"institutions":[{"id":"https://openalex.org/I3131625388","display_name":"University Town of Shenzhen","ror":"https://ror.org/05f5j6225","country_code":"CN","type":"education","lineage":["https://openalex.org/I3131625388"]},{"id":"https://openalex.org/I99065089","display_name":"Tsinghua University","ror":"https://ror.org/03cve4549","country_code":"CN","type":"education","lineage":["https://openalex.org/I99065089"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jianwu Lin","raw_affiliation_strings":["Graduate School at Shenzhen, Tsinghua University, Shenzhen, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School at Shenzhen, Tsinghua University, Shenzhen, China","institution_ids":["https://openalex.org/I3131625388","https://openalex.org/I99065089"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.16442049,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"611","last_page":"616"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9979000091552734,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9965999722480774,"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/predictability","display_name":"Predictability","score":0.9678419828414917},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.7710380554199219},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6128449440002441},{"id":"https://openalex.org/keywords/momentum","display_name":"Momentum (technical analysis)","score":0.603839635848999},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.6015901565551758},{"id":"https://openalex.org/keywords/sample","display_name":"Sample (material)","score":0.5204123258590698},{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.48330140113830566},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.46607327461242676},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.4349142909049988},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3889085650444031},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.322601854801178},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.2714523673057556},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.20561271905899048},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.20287805795669556},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1956590712070465},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.10195297002792358}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.9678419828414917},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.7710380554199219},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6128449440002441},{"id":"https://openalex.org/C60718061","wikidata":"https://www.wikidata.org/wiki/Q1414747","display_name":"Momentum (technical analysis)","level":2,"score":0.603839635848999},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6015901565551758},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.5204123258590698},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.48330140113830566},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.46607327461242676},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.4349142909049988},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3889085650444031},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.322601854801178},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.2714523673057556},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.20561271905899048},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20287805795669556},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1956590712070465},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.10195297002792358},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icphys.2019.8780281","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icphys.2019.8780281","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE International Conference on Industrial Cyber Physical Systems (ICPS)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1858542512","https://openalex.org/W2000510052","https://openalex.org/W2011865771","https://openalex.org/W3121497119","https://openalex.org/W3122727604","https://openalex.org/W3124501327","https://openalex.org/W3125595766","https://openalex.org/W4211170237","https://openalex.org/W4249519923"],"related_works":["https://openalex.org/W2505925597","https://openalex.org/W4250107978","https://openalex.org/W3125663269","https://openalex.org/W4383197394","https://openalex.org/W2363171451","https://openalex.org/W4320525776","https://openalex.org/W4232678388","https://openalex.org/W149428408","https://openalex.org/W2351869549","https://openalex.org/W4294956096"],"abstract_inverted_index":{"Since":[0],"less":[1,42,58],"attention":[2,31,43,59,61],"stocks":[3,44],"have":[4,20],"slower":[5],"information":[6],"exchange":[7],"speed,":[8],"the":[9,41],"best":[10],"parameter":[11],"set":[12],"of":[13,24],"an":[14],"arbitrage":[15],"strategy":[16,50,53],"trained":[17],"in":[18],"sample":[19,25],"better":[21],"predictability":[22],"out":[23],"among":[26,30],"them":[27],"than":[28],"ones":[29],"stocks.":[32,62],"We":[33],"use":[34],"two":[35],"investor-attention":[36],"sentiment":[37],"factors":[38],"to":[39],"classify":[40],"and":[45,51,60],"test":[46],"both":[47],"basic":[48],"momentum":[49],"reverse":[52],"on":[54],"A-share":[55],"market":[56],"over":[57]},"counts_by_year":[],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}
