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Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Citations

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Cited by:

  1. Adam Korniejczuk & Robert Ślepaczuk, 2024. "Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market," Working Papers 2024-09, Faculty of Economic Sciences, University of Warsaw.
  2. Weiguang Han & Boyi Zhang & Qianqian Xie & Min Peng & Yanzhao Lai & Jimin Huang, 2023. "Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning," Papers 2301.10724, arXiv.org, revised Feb 2023.
  3. 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.
  4. Khizar Qureshi & Tauhid Zaman, 2024. "Pairs Trading Using a Novel Graphical Matching Approach," Papers 2403.07998, arXiv.org.
  5. Nicolas Huck, 2013. "The high sensitivity of pairs trading returns," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1301-1304, September.
  6. Perlin, M., 2007. "M of a kind: A Multivariate Approach at Pairs Trading," MPRA Paper 8309, University Library of Munich, Germany.
  7. Yerkin Kitapbayev & Tim Leung, 2017. "Optimal mean-reverting spread trading: nonlinear integral equation approach," Annals of Finance, Springer, vol. 13(2), pages 181-203, May.
  8. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
  9. 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).
  10. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
  11. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  12. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
  13. 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.
  14. Eli Hadad & Sohail Hodarkar & Beakal Lemeneh & Dennis Shasha, 2024. "Machine Learning-Enhanced Pairs Trading," Forecasting, MDPI, vol. 6(2), pages 1-22, June.
  15. Yang Gao & Stephen Satchell & Nandini Srivastava, 2020. "Styles through a convergent/divergent lens: the curious case of ESG," Journal of Asset Management, Palgrave Macmillan, vol. 21(1), pages 4-12, February.
  16. Tim Leung & Raphael Yan, 2018. "Optimal dynamic pairs trading of futures under a two-factor mean-reverting model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-23, September.
  17. Qingshuo Song & Qing Zhang, 2013. "An Optimal Pairs-Trading Rule," Papers 1302.6120, arXiv.org.
  18. Mitra, Sovan & Raju Chinthalapati, V.L. & Clark, Ephraim & McGroarty, Frank, 2019. "Stock-ADR Arbitrage: Microstructure Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  19. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
  20. Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  21. Bo Liu & Lo-Bin Chang & Hélyette Geman, 2017. "Intraday pairs trading strategies on high frequency data: the case of oil companies," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 87-100, January.
  22. Emmanouil Mavrakis & Christos Alexakis, 2018. "Statistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2), pages 159-185, August.
  23. 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].
  24. Schnaubelt, Matthias & Fischer, Thomas G. & Krauss, Christopher, 2020. "Separating the signal from the noise – Financial machine learning for Twitter," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  25. Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
  26. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  27. David S. Sun & Shih-Chuan Tsai & Wei Wang, 2013. "Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S3), pages 47-61, July.
  28. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc.
  29. Raymond C. W. Leung & Yu-Man Tam, 2021. "Statistical Arbitrage Risk Premium by Machine Learning," Papers 2103.09987, arXiv.org.
  30. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
  31. Chi Ng & Johan Lim & Kyeong Lee & Donghyeon Yu & Sujung Choi, 2014. "A fast algorithm to sample the number of vertexes and the area of the random convex hull on the unit square," Computational Statistics, Springer, vol. 29(5), pages 1187-1205, October.
  32. Paul Bilokon & Burak Gunduz, 2023. "C++ Design Patterns for Low-latency Applications Including High-frequency Trading," Papers 2309.04259, arXiv.org.
  33. Clegg, Matthew & Krauss, Christopher, 2016. "Pairs trading with partial cointegration," FAU Discussion Papers in Economics 05/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  34. Alexander Shulzhenko, 2023. "Copula-based deviation measure of cointegrated financial assets," Papers 2312.02081, arXiv.org.
  35. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
  36. Kenji Kutsuna & Janet Kiholm Smith & Richard L. Smith, 2009. "Public Information, IPO Price Formation, and Long‐Run Returns: Japanese Evidence," Journal of Finance, American Finance Association, vol. 64(1), pages 505-546, February.
  37. Alexakis, Christos, 2010. "Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 389-403, October.
  38. Noël Amenc & Lionel Martellini & Jean†Christophe Meyfredi & Volker Ziemann, 2010. "Passive Hedge Fund Replication – Beyond the Linear Case," European Financial Management, European Financial Management Association, vol. 16(2), pages 191-210, March.
  39. Ruyi Liu & Jingzhi Tie & Zhen Wu & Qing Zhang, 2023. "Pairs Trading: An Optimal Selling Rule with Constraints," Papers 2307.15300, arXiv.org.
  40. Tim Leung & Xin Li, 2015. "Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
  41. Gueorgui S. Konstantinov & Frank J. Fabozzi, 2022. "The Geometry of the World of Currency Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 125-145, June.
  42. Timofei Bogomolov, 2013. "Pairs trading based on statistical variability of the spread process," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1411-1430, September.
  43. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
  44. Atanasova, Christina & Li, Mingxin, 2018. "Multi-market trading and liquidity: Evidence from cross-listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 117-138.
  45. Oscar Bernal Diaz & Astrid Herinckx & Ariane Szafarz, 2014. "Which short-selling regulation is the least damaging to market efficiency? Evidence from Europe," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 37, pages 244-256, March.
  46. Huafeng (Jason) Chen & Shaojun (Jenny) Chen & Zhuo Chen & Feng Li, 2019. "Empirical Investigation of an Equity Pairs Trading Strategy," Management Science, INFORMS, vol. 65(1), pages 370-389, January.
  47. Anna Scherbina & Bernd Schlusche, 2016. "Economic linkages inferred from news stories and the predictability of stock returns," AEI Economics Working Papers 873600, American Enterprise Institute.
  48. Haican Diao & Guoshan Liu & Zhuangming Zhu, 2020. "Research on a stock-matching trading strategy based on bi-objective optimization," Frontiers of Business Research in China, Springer, vol. 14(1), pages 1-14, December.
  49. Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
  50. James Angel & Douglas McCabe, 2013. "Fairness in Financial Markets: The Case of High Frequency Trading," Journal of Business Ethics, Springer, vol. 112(4), pages 585-595, February.
  51. Danni Chen & Jing Cui & Yan Gao & Leilei Wu, 2017. "Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1237-1264, December.
  52. Zebedee, Allan A. & Kasch-Haroutounian, Maria, 2009. "A closer look at co-movements among stock returns," Journal of Economics and Business, Elsevier, vol. 61(4), pages 279-294, July.
  53. Du, Lilun & Lan, Wei & Luo, Ronghua & Zhong, Pingshou, 2018. "Factor-adjusted multiple testing of correlations," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 34-47.
  54. Stübinger, Johannes & Mangold, Benedikt & Krauss, Christopher, 2016. "Statistical arbitrage with vine copulas," FAU Discussion Papers in Economics 11/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  55. Sayat R. Baronyan & İ. İlkay Boduroğlu & Emrah Şener, 2010. "Investigation Of Stochastic Pairs Trading Strategies Under Different Volatility Regimes," Manchester School, University of Manchester, vol. 78(s1), pages 114-134, September.
  56. Nekhili, Ramzi & Bouri, Elie, 2023. "Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management," Energy Economics, Elsevier, vol. 119(C).
  57. Bartram, Söhnke M. & Grinblatt, Mark, 2018. "Agnostic fundamental analysis works," Journal of Financial Economics, Elsevier, vol. 128(1), pages 125-147.
  58. He, Fuli & Yarahmadi, Ali & Soleymani, Fazlollah, 2024. "Investigation of multivariate pairs trading under copula approach with mixture distribution," Applied Mathematics and Computation, Elsevier, vol. 472(C).
  59. Yuji Yamada & James A. Primbs, 2018. "Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(1), pages 1-21, March.
  60. Fabian Krause & Jan-Peter Calliess, 2024. "End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture," Papers 2402.08233, arXiv.org.
  61. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  62. 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.
  63. G. Hübner & M. Lambert & N. Papageorgiou, 2015. "Higher†moment Risk Exposures in Hedge Funds," European Financial Management, European Financial Management Association, vol. 21(2), pages 236-264, March.
  64. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  65. Johannes Stübinger & Lucas Schneider, 2019. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500," JRFM, MDPI, vol. 12(2), pages 1-19, April.
  66. Krauss, Christopher & Do, Xuan Anh & Huck, Nicolas, 2017. "Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500," European Journal of Operational Research, Elsevier, vol. 259(2), pages 689-702.
  67. 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.
  68. Quinn, Barry & Hanna, Alan & MacDonald, Fred, 2018. "Picking up the pennies in front of the bulldozer: The profitability of gilt based trading strategies," Finance Research Letters, Elsevier, vol. 27(C), pages 214-222.
  69. Alexandre D'Aspremont, 2010. "Identifying small mean-reverting portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 351-364.
  70. Ahmet Göncü & Erdinc Akyildirim, 2017. "Statistical Arbitrage In The Multi-Asset Black–Scholes Economy," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-18, March.
  71. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
  72. Evan Gatev & Stephen Ross, 2000. "Rebels, Conformists, Contrarians And Momentum Traders," Yale School of Management Working Papers ysm137, Yale School of Management, revised 01 Jan 2003.
  73. Taewook Kim & Ha Young Kim, 2019. "Optimizing the Pairs-Trading Strategy Using Deep Reinforcement Learning with Trading and Stop-Loss Boundaries," Complexity, Hindawi, vol. 2019, pages 1-20, November.
  74. Bolgun, Evren & Kurun, Engin & Guven, Serhat, 2009. "Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange," MPRA Paper 19887, University Library of Munich, Germany.
  75. Wang, Jai-Jen & Lee, Jin-Ping & Zhao, Yang, 2018. "Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 173-184.
  76. Jing Niu & Chao Ma & Chun-Ping Chang, 2023. "The arbitrage strategy in the crude oil futures market of shanghai international energy exchange," Economic Change and Restructuring, Springer, vol. 56(2), pages 1201-1223, April.
  77. Tim Leung & Kevin W. Lu, 2023. "Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework," Papers 2309.05512, arXiv.org, revised Jan 2024.
  78. Chenyanzi Yu & Tianyang Xie, 2021. "Multivariate Pair Trading by Volatility & Model Adaption Trade-off," Papers 2106.09132, arXiv.org.
  79. Schnaubelt, Matthias & Fischer, Thomas G. & Krauss, Christopher, 2018. "Separating the signal from the noise - financial machine learning for Twitter," FAU Discussion Papers in Economics 14/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  80. Daisuke Motori & Yukitami Tsuji, 2012. "Arbitrage Trading Based on Cointegration," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-019, Keio/Kyoto Joint Global COE Program.
  81. 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.
  82. Zouheir Mighri & Faysal Mansouri, 2016. "Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach," Empirical Economics, Springer, vol. 51(3), pages 1115-1149, November.
  83. Sánchez-Granero, M.A. & Balladares, K.A. & Ramos-Requena, J.P. & Trinidad-Segovia, J.E., 2020. "Testing the efficient market hypothesis in Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  84. Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2023. "Statistical arbitrage: factor investing approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(4), pages 1295-1331, December.
  85. Knoll, Julian & Stübinger, Johannes & Grottke, Michael, 2017. "Exploiting social media with higher-order Factorization Machines: Statistical arbitrage on high-frequency data of the S&P 500," FAU Discussion Papers in Economics 13/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  86. Li, Yiyun & Law, Keith K.F., 2021. "Systematic risk in pairs trading and dynamic parameterization," Economics Letters, Elsevier, vol. 202(C).
  87. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  88. Vladimír Holý & Michal Černý, 2022. "Bertram’s pairs trading strategy with bounded risk," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 667-682, June.
  89. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
  90. An-Sing Chen & Che-Ming Yang, 2021. "Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-22, January.
  91. Volkan Muslu & Michael Rebello & Yexiao Xu, 2014. "Sell‐Side Analyst Research and Stock Comovement," Journal of Accounting Research, Wiley Blackwell, vol. 52(4), pages 911-954, September.
  92. Jeff Stephenson & Bruce Vanstone & Tobias Hahn, 2021. "A Unifying Model for Statistical Arbitrage: Model Assumptions and Empirical Failure," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 943-964, December.
  93. 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.
  94. 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.
  95. Hsu, Chih-Hsiang, 2021. "The predictability of the return correlation of futures with different expirations in the Chinese futures market," Resources Policy, Elsevier, vol. 74(C).
  96. Gupta, Kartikay & Chatterjee, Niladri, 2020. "Selecting stock pairs for pairs trading while incorporating lead–lag relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  97. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
  98. Dong, Chaohua & Linton, Oliver, 2018. "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
  99. Lukasz Gatarek & Soeren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
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  101. Kosuke Tatsumura & Ryo Hidaka & Jun Nakayama & Tomoya Kashimata & Masaya Yamasaki, 2023. "Real-time Trading System based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks by NP-hard Combinatorial Optimization," Papers 2307.06339, arXiv.org.
  102. Lin, Tsai-Yu & Chen, Cathy W.S. & Syu, Fong-Yi, 2021. "Multi-asset pair-trading strategy: A statistical learning approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  103. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
  104. Hannes Mohrschladt, 2018. "The impact of size and book-to-market among paired stocks," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 384-393, October.
  105. 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.
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  108. Kamil Korzeń & Robert Ślepaczuk, 2019. "Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach," Working Papers 2019-17, Faculty of Economic Sciences, University of Warsaw.
  109. Boming Ning & Kiseop Lee, 2024. "Advanced Statistical Arbitrage with Reinforcement Learning," Papers 2403.12180, arXiv.org.
  110. Peng Huang & Tianxiang Wang, 2016. "On the Profitability of Optimal Mean Reversion Trading Strategies," Papers 1602.05858, arXiv.org.
  111. Fischer, Thomas & Krauss, Christopher, 2017. "Deep learning with long short-term memory networks for financial market predictions," FAU Discussion Papers in Economics 11/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  112. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
  113. Chang, Carolyn W. & Lin, Bing-Huei & Yu, Min-Teh, 2018. "Derivatives trading information, stock market behavior, and financial institutions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 324-325.
  114. Zhengqin Zeng & Chi-Guhn Lee, 2014. "Pairs trading: optimal thresholds and profitability," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1881-1893, November.
  115. Zhe Huang & Franck Martin, 2017. "Optimal pairs trading strategies in a cointegration framework," Working Papers halshs-01566803, HAL.
  116. Lee, Changju & Ku, Seungmo & Cho, Poongjin & Chang, Woojin, 2019. "Explaining future market return and evaluating market condition with common preferred spread index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 921-934.
  117. Hain, Martin & Hess, Julian & Uhrig-Homburg, Marliese, 2018. "Relative value arbitrage in European commodity markets," Energy Economics, Elsevier, vol. 69(C), pages 140-154.
  118. Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  119. 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.
  120. Ahmet G�nc�, 2015. "Statistical arbitrage in the Black-Scholes framework," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1489-1499, September.
  121. Krauss, Christopher & Stübinger, Johannes, 2015. "Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100," FAU Discussion Papers in Economics 15/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  122. Baviera, Roberto & Santagostino Baldi, Tommaso, 2019. "Stop-loss and leverage in optimal statistical arbitrage with an application to energy market," Energy Economics, Elsevier, vol. 79(C), pages 130-143.
  123. 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.
  124. Roberto Baviera & Tommaso Santagostino Baldi, 2017. "Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market," Papers 1706.07021, arXiv.org.
  125. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  126. Atul Deshpande & B. Ross Barmish, 2016. "A General Framework for Pairs Trading with a Control-Theoretic Point of View," Papers 1608.03636, arXiv.org.
  127. Matthew Clegg & Christopher Krauss, 2018. "Pairs trading with partial cointegration," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 121-138, January.
  128. Binh Do & Robert Faff, 2021. "Pairs trading and idiosyncratic cash flow risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3171-3206, June.
  129. 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.
  130. 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.
  131. Ziping Zhao & Rui Zhou & Zhongju Wang & Daniel P. Palomar, 2018. "Optimal Portfolio Design for Statistical Arbitrage in Finance," Papers 1803.02974, arXiv.org.
  132. Haipeng Xing, 2019. "A singular stochastic control approach for optimal pairs trading with proportional transaction costs," Papers 1911.10450, arXiv.org.
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