S&P 500 Pair Trading

Introduced in Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning2023

About this Dataset

A pool of real stocks from S&P 500 for recent 21 years from 01/02/2000 to 12/31/2020. We filter stocks that have missing data throughout the whole period, resulting in 150 stocks with 5,284 trading days.

Source: Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning

Dataset Variants

S&P 500 Pair Trading

Papers1

Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning

A paradigm for automatic pair trading as a unified task rather than a two-step pipeline is proposed and a hierarchical reinforcement learning framework is designed to jointly learn and optimize two sub-tasks.

Tasks

EDIT

PAIR TRADING

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Statistics

Papers

1

Tasks

4

Introduced

2023