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