The high sensitivity of pairs trading returns
Author
Abstract
Suggested Citation
DOI: 10.1080/13504851.2013.802121
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Nicolas Huck, 2013. "The high sensitivity of pairs trading returns," Post-Print hal-01514549, HAL.
References listed on IDEAS
- Broussard, John Paul & Vaihekoski, Mika, 2012. "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1188-1201.
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006.
"Pairs Trading: Performance of a Relative-Value Arbitrage Rule,"
The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 797-827.
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm26, Yale School of Management.
- William N. Goetzmann & Evan Geov Gatev & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm109, Yale School of Management.
- William Goetzmann & Evan g. Gatev & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm3, Yale School of Management.
- Evan G. Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1999. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," NBER Working Papers 7032, National Bureau of Economic Research, Inc.
- Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Huck, Nicolas, 2010. "Pairs trading and outranking: The multi-step-ahead forecasting case," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1702-1716, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ahmet Göncü & Erdinc Akyildirim, 2016. "A stochastic model for commodity pairs trading," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1843-1857, December.
- Marianna Brunetti & Roberta De Luca, 2023.
"Pre-selection in cointegration-based pairs trading,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(5), pages 1611-1640, December.
- Marianna Brunetti & Roberta De Luca, 2020. "Pre-selection in Cointegration-based Pairs Trading," CEIS Research Paper 500, Tor Vergata University, CEIS, revised 10 Mar 2021.
- Marianna Brunetti & Roberta de Luca, 2022. "Pre-selection in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0089, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Marianna Brunetti & Roberta De Luca, 2022.
"Sensitivity of Profitability in Cointegration-Based Pairs Trading,"
CEIS Research Paper
540, Tor Vergata University, CEIS, revised 11 Apr 2022.
- Marianna Brunetti & Roberta de Luca, 2022. "Sensitivity of profitability in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0090, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Miroslav Fil, 2020. "Gold Standard Pairs Trading Rules: Are They Valid?," Papers 2010.01157, arXiv.org.
- Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
- Zhe Huang & Franck Martin, 2017.
"Optimal pairs trading strategies in a cointegration framework,"
Economics Working Paper Archive (University of Rennes & University of Caen)
2017-08, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
- Zhe Huang & Franck Martin, 2017. "Optimal pairs trading strategies in a cointegration framework," Working Papers halshs-01566803, HAL.
- Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- GholamReza Keshavarz Haddad & Hassan Talebi, 2023. "The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 193-207, January.
- Andreas Mikkelsen, 2018. "Pairs trading: the case of Norwegian seafood companies," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 303-318, January.
- Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy," Papers 1811.09312, arXiv.org, revised Jul 2022.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2016. "The profitability of pairs trading strategies: distance, cointegration and copula methods," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1541-1558, October.
- Geetu Aggarwal & Navdeep Aggarwal, 2021. "Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 79-99, March.
- Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Psaradellis, Ioannis & Laws, Jason & Pantelous, Athanasios A. & Sermpinis, Georgios, 2023. "Technical analysis, spread trading, and data snooping control," International Journal of Forecasting, Elsevier, vol. 39(1), pages 178-191.
- Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
- Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Isabel Figuerola‐Ferretti & Ioannis Paraskevopoulos & Tao Tang, 2018. "Pairs‐trading and spread persistence in the European stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 998-1023, September.
- João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
- Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
- Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
- Flori, Andrea & Regoli, Daniele, 2021. "Revealing Pairs-trading opportunities with long short-term memory networks," European Journal of Operational Research, Elsevier, vol. 295(2), pages 772-791.
- Mar Grande & Florentino Borondo & Juan Carlos Losada & Javier Borondo, 2024. "Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study," Mathematics, MDPI, vol. 12(18), pages 1-14, September.
- Fabio Pizzutilo, 2013. "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 763-771.
- R. Todd Smith & Xun Xu, 2017. "A good pair: alternative pairs-trading strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 1-26, February.
- Sabino da Silva, Fernando A.B. & Ziegelmann, Flavio A. & Caldeira, João F., 2023. "A pairs trading strategy based on mixed copulas," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 16-34.
- Chuan-Hao Hsu & Hung-Gay Fung & Yi-Ping Chang, 2016. "The performance of Taiwanese firms after a share repurchase announcement," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1251-1269, November.
- Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers 04-03, University of Cologne, Centre for Financial Research (CFR).
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014.
"Forecasting the Equity Risk Premium: The Role of Technical Indicators,"
Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Fenghui Yu & Wai-Ki Ching & Chufang Wu & Jia-Wen Gu, 2023. "Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach," Journal of Optimization Theory and Applications, Springer, vol. 196(1), pages 36-55, January.
- Carlo Rosa, 2022. "Understanding intraday momentum strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2218-2234, December.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:20:y:2013:i:14:p:1301-1304. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.