{"id":"https://openalex.org/W2772611570","doi":"https://doi.org/10.1186/s40537-017-0106-3","title":"A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach","display_name":"A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach","publication_year":2017,"publication_date":"2017-12-01","ids":{"openalex":"https://openalex.org/W2772611570","doi":"https://doi.org/10.1186/s40537-017-0106-3","mag":"2772611570","pmid":"https://pubmed.ncbi.nlm.nih.gov/31998599"},"language":"en","primary_location":{"id":"doi:10.1186/s40537-017-0106-3","is_oa":true,"landing_page_url":"https://doi.org/10.1186/s40537-017-0106-3","pdf_url":"https://journalofbigdata.springeropen.com/track/pdf/10.1186/s40537-017-0106-3","source":{"id":"https://openalex.org/S2737955091","display_name":"Journal Of Big Data","issn_l":"2196-1115","issn":["2196-1115"],"is_oa":true,"is_in_doaj":true,"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":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Big Data","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj","pubmed"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://journalofbigdata.springeropen.com/track/pdf/10.1186/s40537-017-0106-3","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065842928","display_name":"Anton Tenyakov","orcid":null},"institutions":[{"id":"https://openalex.org/I2802549117","display_name":"TD Bank Group","ror":"https://ror.org/04jjb9549","country_code":"CA","type":"other","lineage":["https://openalex.org/I2802549117"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Anton Tenyakov","raw_affiliation_strings":["1Treasury Department, TD Bank Group, Toronto, ON Canada","Treasury Department, TD Bank Group, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"1Treasury Department, TD Bank Group, Toronto, ON Canada","institution_ids":["https://openalex.org/I2802549117"]},{"raw_affiliation_string":"Treasury Department, TD Bank Group, Toronto, ON, Canada","institution_ids":["https://openalex.org/I2802549117"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010674696","display_name":"Rogemar Mamon","orcid":"https://orcid.org/0000-0003-0885-7685"},"institutions":[{"id":"https://openalex.org/I125749732","display_name":"Western University","ror":"https://ror.org/02grkyz14","country_code":"CA","type":"education","lineage":["https://openalex.org/I125749732"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Rogemar Mamon","raw_affiliation_strings":["2Department of Statistical and Actuarial Sciences, University of Western Ontario, 1151 Richmond Street, London, ON N6A 5B7 Canada","Department of Statistical and Actuarial Sciences, University of Western Ontario, 1151 Richmond Street, London, ON, N6A 5B7, Canada"],"raw_orcid":"https://orcid.org/0000-0003-0885-7685","affiliations":[{"raw_affiliation_string":"2Department of Statistical and Actuarial Sciences, University of Western Ontario, 1151 Richmond Street, London, ON N6A 5B7 Canada","institution_ids":["https://openalex.org/I125749732"]},{"raw_affiliation_string":"Department of Statistical and Actuarial Sciences, University of Western Ontario, 1151 Richmond Street, London, ON, N6A 5B7, Canada","institution_ids":["https://openalex.org/I125749732"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5010674696"],"corresponding_institution_ids":["https://openalex.org/I125749732"],"apc_list":{"value":1060,"currency":"GBP","value_usd":1300},"apc_paid":{"value":1060,"currency":"GBP","value_usd":1300},"fwci":6.9001,"has_fulltext":true,"cited_by_count":14,"citation_normalized_percentile":{"value":0.96899909,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"4","issue":"1","first_page":"46","last_page":"46"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9986000061035156,"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"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9986000061035156,"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"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9973999857902527,"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":0.9962000250816345,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.8021879196166992},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.698162853717804},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.6314142942428589},{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.6054243445396423},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.5848744511604309},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.4794099032878876},{"id":"https://openalex.org/keywords/analytics","display_name":"Analytics","score":0.4515652656555176},{"id":"https://openalex.org/keywords/high-frequency-trading","display_name":"High-frequency trading","score":0.43173789978027344},{"id":"https://openalex.org/keywords/big-data","display_name":"Big data","score":0.4247216582298279},{"id":"https://openalex.org/keywords/herding","display_name":"Herding","score":0.41810303926467896},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.38078773021698},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.3550030291080475},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.3460503816604614},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.33386069536209106},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.1970127522945404},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.192596435546875},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.10067972540855408}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.8021879196166992},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.698162853717804},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.6314142942428589},{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.6054243445396423},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5848744511604309},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.4794099032878876},{"id":"https://openalex.org/C79158427","wikidata":"https://www.wikidata.org/wiki/Q485396","display_name":"Analytics","level":2,"score":0.4515652656555176},{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.43173789978027344},{"id":"https://openalex.org/C75684735","wikidata":"https://www.wikidata.org/wiki/Q858810","display_name":"Big data","level":2,"score":0.4247216582298279},{"id":"https://openalex.org/C177605951","wikidata":"https://www.wikidata.org/wiki/Q1484503","display_name":"Herding","level":2,"score":0.41810303926467896},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.38078773021698},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3550030291080475},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.3460503816604614},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.33386069536209106},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.1970127522945404},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.192596435546875},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.10067972540855408},{"id":"https://openalex.org/C97137747","wikidata":"https://www.wikidata.org/wiki/Q38112","display_name":"Forestry","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1186/s40537-017-0106-3","is_oa":true,"landing_page_url":"https://doi.org/10.1186/s40537-017-0106-3","pdf_url":"https://journalofbigdata.springeropen.com/track/pdf/10.1186/s40537-017-0106-3","source":{"id":"https://openalex.org/S2737955091","display_name":"Journal Of Big Data","issn_l":"2196-1115","issn":["2196-1115"],"is_oa":true,"is_in_doaj":true,"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":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Big Data","raw_type":"journal-article"},{"id":"pmid:31998599","is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/31998599","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of big data","raw_type":null},{"id":"pmh:oai:doaj.org/article:980677f9a46e4dc0926dd5072f93b0e8","is_oa":true,"landing_page_url":"https://doaj.org/article/980677f9a46e4dc0926dd5072f93b0e8","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Big Data, Vol 4, Iss 1, Pp 1-20 (2017)","raw_type":"article"},{"id":"pmh:oai:europepmc.org:5927104","is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/6956914","pdf_url":null,"source":{"id":"https://openalex.org/S4306400806","display_name":"Europe PMC (PubMed Central)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1303153112","host_organization_name":"European Bioinformatics Institute","host_organization_lineage":["https://openalex.org/I1303153112"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Text"}],"best_oa_location":{"id":"doi:10.1186/s40537-017-0106-3","is_oa":true,"landing_page_url":"https://doi.org/10.1186/s40537-017-0106-3","pdf_url":"https://journalofbigdata.springeropen.com/track/pdf/10.1186/s40537-017-0106-3","source":{"id":"https://openalex.org/S2737955091","display_name":"Journal Of Big Data","issn_l":"2196-1115","issn":["2196-1115"],"is_oa":true,"is_in_doaj":true,"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":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Big Data","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1504550788","display_name":null,"funder_award_id":"RGPIN-2017-04235","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"}],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2772611570.pdf","grobid_xml":"https://content.openalex.org/works/W2772611570.grobid-xml"},"referenced_works_count":33,"referenced_works":["https://openalex.org/W53589709","https://openalex.org/W1513350018","https://openalex.org/W1527556217","https://openalex.org/W1963718895","https://openalex.org/W1983264599","https://openalex.org/W1990344701","https://openalex.org/W2004897990","https://openalex.org/W2010897556","https://openalex.org/W2029752679","https://openalex.org/W2046839167","https://openalex.org/W2049633694","https://openalex.org/W2062028600","https://openalex.org/W2073571177","https://openalex.org/W2076333559","https://openalex.org/W2078086293","https://openalex.org/W2107585220","https://openalex.org/W2115564019","https://openalex.org/W2142635246","https://openalex.org/W2145319139","https://openalex.org/W2147876444","https://openalex.org/W2168175751","https://openalex.org/W2278426211","https://openalex.org/W2293176873","https://openalex.org/W2307101150","https://openalex.org/W2332282366","https://openalex.org/W2527364597","https://openalex.org/W2531934726","https://openalex.org/W2538676990","https://openalex.org/W2762725191","https://openalex.org/W3124947594","https://openalex.org/W4232036911","https://openalex.org/W4256431242","https://openalex.org/W4293108444"],"related_works":["https://openalex.org/W2392556764","https://openalex.org/W4399587225","https://openalex.org/W1552949382","https://openalex.org/W4226227859","https://openalex.org/W2947561447","https://openalex.org/W4401281348","https://openalex.org/W1780554743","https://openalex.org/W2461261851","https://openalex.org/W2248263857","https://openalex.org/W2342829690"],"abstract_inverted_index":{"This":[0],"paper":[1,148],"addresses":[2],"the":[3,17,25,28,31,48,74,113,115,124,157,172,211,243,256,260],"problem":[4],"of":[5,20,27,36,51,76,123,137,152,163,174,213,259],"designing":[6],"an":[7,68,249],"efficient":[8],"platform":[9],"for":[10,103],"pairs-trading":[11,104],"implementation":[12],"in":[13,54,67,79,112,146],"real":[14],"time.":[15],"Capturing":[16],"stylised":[18],"features":[19],"a":[21,34,39,55,80,100,135,150,199,202,207,226],"spread":[22,191],"process,":[23],"i.e.,":[24],"evolution":[26],"differential":[29],"between":[30,192],"returns":[32],"from":[33,231,255],"pair":[35],"stocks,":[37],"exhibiting":[38],"heavy-tailed":[40],"mean-reverting":[41],"process":[42],"is":[43,58,61,119,149,186,223,237,251],"also":[44],"dealt":[45],"with.":[46],"Likewise,":[47],"optimal":[49,139],"recovery":[50],"time-varying":[52],"parameters":[53],"return-spread":[56],"model":[57,89],"tackled.":[59],"It":[60,155],"important":[62],"to":[63,71,98,134,240,253],"solve":[64],"such":[65],"issues":[66],"integrated":[69],"manner":[70],"carry":[72],"out":[73],"execution":[75],"trading":[77,227],"strategies":[78],"dynamic":[81,92],"market":[82],"environment.":[83],"The":[84,121,142,183,220,229],"Kalman":[85,129],"and":[86,128,160,169,194,217,248],"hidden":[87],"Markov":[88],"(HMM)":[90],"multi-regime":[91],"filtering":[93,117,130,262],"approaches":[94],"are":[95,108,246],"fused":[96],"together":[97],"provide":[99],"powerful":[101],"method":[102,118,143],"actualisation.":[105],"Practitioners'":[106],"considerations":[107],"taken":[109],"into":[110],"account":[111],"way":[114],"new":[116],"automated.":[120],"synthesis":[122],"HMM's":[125],"expectation-maximisation":[126],"algorithm":[127],"procedure":[131],"gives":[132],"rise":[133],"set":[136],"self-updating":[138],"parameter":[140],"estimates.":[141],"put":[144],"forward":[145],"this":[147,232],"hybridisation":[151],"signal-processing":[153],"algorithms.":[154],"highlights":[156],"critical":[158],"role":[159],"beneficial":[161],"utility":[162],"data":[164,181],"fusion":[165],"methods.":[166,263],"Its":[167],"appropriateness":[168],"novelty":[170],"support":[171],"advancements":[173],"accurate":[175],"predictive":[176],"analytics":[177],"involving":[178],"big":[179],"financial":[180],"sets.":[182],"algorithm's":[184],"performance":[185],"tested":[187],"on":[188],"historical":[189],"return":[190],"Coca-Cola":[193],"Pepsi":[195],"Inc.'s":[196],"equities.":[197],"Through":[198],"back-testing":[200],"trade,":[201],"hypothetical":[203],"trader":[204],"might":[205],"earn":[206],"non-zero":[208],"profit":[209],"under":[210],"assumption":[212],"no":[214],"transaction":[215,244],"costs":[216],"bid-ask":[218],"spreads.":[219],"method's":[221],"success":[222],"illustrated":[224],"by":[225],"simulation.":[228],"findings":[230],"work":[233],"show":[234],"that":[235],"there":[236],"high":[238],"potential":[239],"gain":[241],"when":[242],"fees":[245],"low,":[247],"investor":[250],"able":[252],"benefit":[254],"proposed":[257],"interplay":[258],"two":[261]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1}],"updated_date":"2026-05-26T13:28:51.108037","created_date":"2025-10-10T00:00:00"}