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Pairs trading with costly short-selling
Journal of Economic Dynamics and Control, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xu, Jing, Yang, Peiquan
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2023
The purpose of this thesis is primarily the thorough study of couples shares of the Athens Stock Exchange for a period of six months through the so-called "pair trading" investment strategy. In particular, pair trading is a special well-known and effective method of trading for the market and has been exploited to a large extent degree from several ...
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The purpose of this thesis is primarily the thorough study of couples shares of the Athens Stock Exchange for a period of six months through the so-called "pair trading" investment strategy. In particular, pair trading is a special well-known and effective method of trading for the market and has been exploited to a large extent degree from several ...
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SSRN Electronic Journal, 2014
Pairs trading is a well-known speculative investment strategy, with the distance method the most commonly implemented variation. However, the profitability of this approach has decreased in recent years. This article seeks to generalize the pairs trading strategy using a copula technique to explicitly capture the marginal distributions as well as the ...
Wenjun Xie +3 more
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Pairs trading is a well-known speculative investment strategy, with the distance method the most commonly implemented variation. However, the profitability of this approach has decreased in recent years. This article seeks to generalize the pairs trading strategy using a copula technique to explicitly capture the marginal distributions as well as the ...
Wenjun Xie +3 more
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PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS
International Journal of Theoretical and Applied Finance, 2023In this paper, we propose a pairs trading strategy using the theory of topological data analysis (TDA). The proposed strategy is model-free. We propose a TDA-based distance to measure dependence between a pair of stochastic processes. We derive an upper bound of this distance in terms of a function of the canonical correlation of the processes, which ...
SOURAV MAJUMDAR, ARNAB KUMAR LAHA
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In search of pairs using firm fundamentals: is pairs trading profitable?
The European Journal of Finance, 2021We investigate whether spurious pairs created by multiple hypothesis testing can be minimized when firm characteristics are used to identify pairs. The results show that the portfolios of pairs that have higher fundamental similarity outperform those that are fundamentally less similar by minimizing the non-convergence risk.
Sungju Hong, Soosung Hwang
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Equilibrium pairs trading under delayed cointegration
Automatica, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tingjin Yan, Hoi Ying Wong
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Simulated Trading-An Analysis of Pairs Trading [PDF]
, 2004 In this report, we explain and analyze a trading strategy, popularly known as Pairs trading. We begin by explaining what a pair trading strategy entails. Since there are various ways of implementing the strategy, we describe the methodology selected by us in section 3. Thereafter, we look at the returns from the strategy and benchmark it to the S&P 500
Nikesh Agarwal +2 more
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A good pair: alternative pairs-trading strategies
Financial Markets and Portfolio Management, 2017This paper studies alternative techniques for identifying stock pairs in a pairs-trading strategy over 1980–2014. We consider two main techniques: the distance approach and the cointegration approach. We also consider a range of parameterizations of the trading system design. Parameterization of the trading system matters for the profitability of pairs
R. Todd Smith, Xun Xu
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Robust dynamic pairs trading with cointegration
Operations Research Letters, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mei Choi Chiu, Hoi Ying Wong
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A high performance pair trading application
2009 IEEE International Symposium on Parallel & Distributed Processing, 2009This paper describes a high-frequency pair trading strategy that exploits the power of MarketMiner, a high-performance analytics platform that enables a real-time, market-wide search for short-term correlation breakdowns across multiple markets and asset classes.
Jieren Wang +2 more
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