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The profitability of pairs trading strategies: distance, cointegration and copula methods
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- Ye, Cheng & Qiu, Yanjun & Lu, Guohao & Hou, Yawen, 2018. "Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1009-1018.
- Yen-Wu Ti & Tian-Shyr Dai & Kuan-Lun Wang & Hao-Han Chang & You-Jia Sun, 2024. "Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2717-2745, November.
- Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," JRFM, MDPI, vol. 13(6), pages 1-19, June.
- Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021. "Deep Learning Statistical Arbitrage," Papers 2106.04028, arXiv.org, revised Oct 2022.
- 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.
- Matthew Clegg & Christopher Krauss, 2018. "Pairs trading with partial cointegration," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 121-138, January.
- Law, K.F. & Li, W.K. & Yu, Philip L.H., 2018. "A single-stage approach for cointegration-based pairs trading," Finance Research Letters, Elsevier, vol. 26(C), pages 177-184.
- Seungho Baek & Mina Glambosky & Seok Hee Oh & Jeong Lee, 2020. "Machine Learning and Algorithmic Pairs Trading in Futures Markets," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
- Wen, Danyan & Ma, Chaoqun & Wang, Gang-Jin & Wang, Senzhang, 2018. "Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 903-918.
- Stübinger, Johannes & Endres, Sylvia, 2017. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data," FAU Discussion Papers in Economics 10/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Bui, Quynh & Ślepaczuk, Robert, 2022. "Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
- 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".
- Ariel Neufeld & Julian Sester & Daiying Yin, 2022. "Detecting data-driven robust statistical arbitrage strategies with deep neural networks," Papers 2203.03179, arXiv.org, revised Feb 2024.
- Guang Zhang, 2020. "Pairs Trading with Nonlinear and Non-Gaussian State Space Models," Papers 2005.09794, arXiv.org.
- 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.
- Syed Mujahid Hussain & Sergey Osmekhin & Frédéric Délèze, 2021. "Short-term market efficiency indicator based on the waiting-time distribution," Review of Managerial Science, Springer, vol. 15(6), pages 1561-1572, August.
- 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.
- Stübinger, Johannes, 2018. "Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500," FAU Discussion Papers in Economics 01/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
- 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".
- 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.
- Baiquan Ma & Robert Ślepaczuk, 2022. "The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods," Working Papers 2022-02, Faculty of Economic Sciences, University of Warsaw.
- 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.
- Yen-Sheng Lee, 2022. "Representative Bias and Pairs Trade: Evidence From S&P 500 and Russell 2000 Indexes," SAGE Open, , vol. 12(3), pages 21582440221, August.
- Tian-Shyr Dai & Yi-Jen Luo & Hao-Han Chang & Chu-Lan Kao & Kuan-Lun Wang & Liang-Chih Liu, 2024. "Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1391-1411, November.
- Marianna Brunetti & Roberta De Luca, 2023.
"Pairs trading in the index options market,"
Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 145-173, March.
- Marianna Brunetti & Roberta De Luca, 2021. "Pairs Trading In The Index Options Market," CEIS Research Paper 512, Tor Vergata University, CEIS, revised 02 Sep 2021.
- 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.
- Anna Ananova & Rama Cont & Renyuan Xu, 2020. "Model-free Analysis of Dynamic Trading Strategies," Papers 2011.02870, arXiv.org, revised Aug 2023.
- Fischer, Thomas & Krauss, Christopher, 2018. "Deep learning with long short-term memory networks for financial market predictions," European Journal of Operational Research, Elsevier, vol. 270(2), pages 654-669.
- Hao Ji & Hao Wang & Brunero Liseo, 2018. "Portfolio Diversification Strategy Via Tail‐Dependence Clustering and ARMA‐GARCH Vine Copula Approach," Australian Economic Papers, Wiley Blackwell, vol. 57(3), pages 265-283, September.
- 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.
- 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.
- Masood Tadi & Jiří Witzany, 2025. "Copula-based trading of cointegrated cryptocurrency Pairs," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-32, December.
- Guo, Minjia & Liu, Jianhe & Luo, Ziping & Han, Xiao, 2024. "Deep reinforcement learning for pairs trading: Evidence from China black series futures," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 981-993.
- Endres, Sylvia & Stübinger, Johannes, 2018. "A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns," FAU Discussion Papers in Economics 07/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- 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.
- Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
- Emmanuel Afuecheta & Saralees Nadarajah & Stephen Chan, 2021. "A Statistical Analysis of Global Economies Using Time Varying Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1167-1194, December.
- 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.
- Han, Chulwoo & He, Zhaodong & Toh, Alenson Jun Wei, 2023. "Pairs trading via unsupervised learning," European Journal of Operational Research, Elsevier, vol. 307(2), pages 929-947.
- Hu, Shicheng & Zhang, Weijie & Li, Danping & Wu, Bing, 2023. "Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
- 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.
- Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.
- Andreas Mikkelsen, 2018. "Pairs trading: the case of Norwegian seafood companies," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 303-318, January.
- Fernando Caneo & Werner Kristjanpoller, 2021. "Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4424-4440, July.