Results 11 to 20 of about 142,438 (299)
Pairs trading: is it applicable to exchange-traded funds?
Borsa Istanbul Review, 2022 Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application.
Ekin Tokat, Ahmet Cevdet Hayrullahoğlu
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An Optimal Pairs-Trading Rule [PDF]
Automatica, 2013 This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a pair to short
Song, Qingshuo, Zhang, Qing
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A Cooperative Dynamic Approach to Pairs Trading [PDF]
Complexity, 2021 Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date.
J. P. Ramos-Requena +3 more
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Some Notes on the Formation of a Pair in Pairs Trading [PDF]
Mathematics, 2020 The main goal of the paper is to introduce different models to calculate the amount of money that must be allocated to each stock in a statistical arbitrage technique known as pairs trading. The traditional allocation strategy is based on an equal weight
José Pedro Ramos-Requena +2 more
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Composition of portfolios by pairs trading with volatility criteria in the Brazilian market,
Revista Contabilidade & Finanças, 2021 The objective of this study was to understand how the shares’ volatility affects the portfolios’ dynamics formed using the model of pairs trading in the Brazilian stock market.
Raphael Silveira Guerra Cavalcanti +3 more
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Metaphorical Operational Research (MOR) – A new insight Metaphors of Paired Shares and Binary Stars [PDF]
مدیریت صنعتی, 2022 Objective: This study introduces Metaphorical Operational Research (MOR) as a new insight into decision making and answers to some criticisms of classical Operational Research (OR).
Mohammadreza Mehrgan +3 more
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Pairs Trading with Opportunity Cost [PDF]
Journal of Applied Probability, 2014 Pairs trading is a trading strategy which is used very frequently in the financial industry. An investment opportunity arises when the spread between two assets, which historically have exhibited autoregressive behavior, deviates from its recent history. In this case, the investor takes a long position in the asset which is expected to outperform going
openaire +2 more sources
A Diversification Framework for Multiple Pairs Trading Strategies
Risks, 2023 We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the ...
Kiseop Lee, Tim Leung, Boming Ning
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Complexity, 2019 Many researchers have tried to optimize pairs trading as the numbers of opportunities for arbitrage profit have gradually decreased. Pairs trading is a market-neutral strategy; it profits if the given condition is satisfied within a given trading window,
Taewook Kim, Ha Young Kim
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COVID-19 Effects on Arbitrage Trading in the Energy Market
Energies, 2022 This paper investigates the effects of coronavirus disease 2019 (COVID-19) on the performance of arbitrage trading in the energy market using daily data covering the period between 1 January 2015 and 5 December 2021.
Li Chen, Guang Zhang
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