Pairs trading and spread persistence in the European stock market
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DOI: 10.1002/fut.21927
Abstract: In this paper, we adapt the demand and supply framework introduced by Figuerola‐Ferretti and Gonzalo (Journal of Econometrics, 2010) to illustrate the dynamics of Pairs‐trading. We underline the process by which a finite elasticity of… read more here.
Keywords: spread persistence; pairs trading; trading spread; persistence european ... See more keywords
Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
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DOI: 10.1007/s10690-020-09317-1
Abstract: Statistical arbitrage is a trading strategy that employs time series methods to identify relative mispricing between securities based on the expected values of these assets. The Pairs Trading, one of the techniques of statistical arbitrage,… read more here.
Keywords: pairs trading; trading; statistical arbitrage; strategy ... See more keywords
Stock Price Co-Movement and the Foundations of Pairs Trading
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109018000789
Abstract: We study the theoretical implications of cointegrated stock prices on the profitability of pairs-trading strategies. If stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that the… read more here.
Keywords: pairs trading; foundations pairs; movement foundations; stock price ... See more keywords
Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
Sign Up to like & getrecommendations! Published in 2018 at "Quantitative Finance"
DOI: 10.1080/14697688.2017.1417624
Abstract: This paper develops a pairs trading framework based on a mean-reverting jump–diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables… read more here.
Keywords: pairs trading; jump diffusion; trading; reverting jump ... See more keywords
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
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DOI: 10.1080/14697688.2019.1585562
Abstract: This paper develops the regime classification algorithm and applies it within a fully-fledged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines… read more here.
Keywords: regime switching; pairs trading; high frequency; flexible regime ... See more keywords
Pairs Trading in Cryptocurrency Markets
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DOI: 10.1109/access.2020.3024619
Abstract: Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even though these strategies have been shown to perform well for equities, their performance is unknown for the field of cryptocurrencies,… read more here.
Keywords: trading cryptocurrency; cryptocurrency markets; pairs trading;
Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Transactions on Circuits and Systems I: Regular Papers"
DOI: 10.1109/tcsi.2021.3073492
Abstract: Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important step of this strategy is selecting pairs of stocks. Compared with other existing pairs selection approaches, the Engle-Granger cointegration is… read more here.
Keywords: tex math; granger cointegration; pairs trading; cointegration ... See more keywords