Details about Nicolas Huck

Access statistics for papers by Nicolas Huck.

Last updated 2019-07-01. Update your information in the RePEc Author Service.

Short-id: phu188

Working Papers

2019

1. Large data sets and machine learning: Applications to statistical arbitrage
   Post-Print, HAL View citations (34)

2017

2. Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
   Post-Print, HAL View citations (141)
   Also in FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics (2016) View citations (2)
   See also Journal Article Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500, European Journal of Operational Research, Elsevier (2017) View citations (145) (2017)

2015

3. Pairs trading and selection methods: Is cointegration superior?
   Post-Print, HAL View citations (30)
   See also Journal Article Pairs trading and selection methods: is cointegration superior?, Applied Economics, Taylor & Francis Journals (2015) View citations (37) (2015)
4. Pairs trading: does volatility timing matter?
   Post-Print, HAL View citations (11)
   See also Journal Article Pairs trading: does volatility timing matter?, Applied Economics, Taylor & Francis Journals (2015) View citations (13) (2015)

2013

5. Plateforme de formation pour la certification par l'AMF d'un examen relatif aux connaissances des acteurs de marché
   Post-Print, HAL
6. The high sensitivity of pairs trading returns
   Post-Print, HAL View citations (11)
   See also Journal Article The high sensitivity of pairs trading returns, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (12) (2013)

2005

7. On the use of nearest neighbors in finance
   Post-Print, HAL View citations (6)
   See also Journal Article On the use of Nearest Neighbors in finance, Finance, Presses universitaires de Grenoble (2005) View citations (10) (2005)

Journal Articles

2017

1. Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
   European Journal of Operational Research, 2017, 259, (2), 689-702 View citations (145)
   See also Working Paper Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500, Post-Print (2017) View citations (141) (2017)

2015

2. Pairs trading and selection methods: is cointegration superior?
   Applied Economics, 2015, 47, (6), 599-613 View citations (37)
   See also Working Paper Pairs trading and selection methods: Is cointegration superior?, Post-Print (2015) View citations (30) (2015)
3. Pairs trading: does volatility timing matter?
   Applied Economics, 2015, 47, (57), 6239-6256 View citations (13)
   See also Working Paper Pairs trading: does volatility timing matter?, Post-Print (2015) View citations (11) (2015)

2013

4. The high sensitivity of pairs trading returns
   Applied Economics Letters, 2013, 20, (14), 1301-1304 View citations (12)
   See also Working Paper The high sensitivity of pairs trading returns, Post-Print (2013) View citations (11) (2013)

2010

5. Pairs trading and outranking: The multi-step-ahead forecasting case
   European Journal of Operational Research, 2010, 207, (3), 1702-1716 View citations (54)

2009

6. Pairs selection and outranking: An application to the S&P 100 index
   European Journal of Operational Research, 2009, 196, (2), 819-825 View citations (50)

2005

7. On the use of Nearest Neighbors in finance
   Finance, 2005, 26, (2), 67-86 View citations (10)
   See also Working Paper On the use of nearest neighbors in finance, Post-Print (2005) View citations (6) (2005)