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Arbitrage durch quantitatives Pairs Trading
, 2011 In der vorliegenden Arbeit wird versucht, die quantitative statistische Pairs Trading Theorie auf die Möglichkeit der Erzielung eines Arbitragegewinnes beziehungsweise eines höheren Gewinnes als durch die simple Investition in Marktindexpapiere zu überprüfen.
Heinz Lorenz Habermuth
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Engineering Proceedings, 2023 Pairs trading is a popular quantitative trading strategy with the advantage of a similarity in price movement to financial assets. Assuming that the price spreads of trading pairs are mean-reverting, this strategy exploits the disequilibrium in financial
Po-Chang Ko +5 more
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Evaluation of dynamic cointegration-based pairs trading strategy in the cryptocurrency market [PDF]
Studies in Economics and Finance, 2021 Purpose This paper aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market and evaluate its return and risk by applying three different scenarios.
Masood Tadi, Irina Kortchmeski
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Pairs Trading; A Comparison between Student-t and Vine Copulas [PDF]
تحقیقات مالی, 2022 Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE).
Maryam Davallou, Ardavan Yazdi
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Comparative Study of Pair Trading Techniques in Pakistan’s Financial and Non-Financial Sector
Reviews of Management Sciences, 2023 Purpose: This study attempts to empirically investigate the pair trading performance of financial and non-financial firms in Pakistan. Methodology: Daily data from 2008 to 2017 was collected for nine years.
Marina Afzal +2 more
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Emergence and structure of decentralised trade networks around dark web marketplaces
Scientific Reports, 2022 Dark web marketplaces (DWMs) are online platforms that facilitate illicit trade among millions of users generating billions of dollars in annual revenue.
Matthieu Nadini +5 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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Sensitivity of Profitability in Cointegration-Based Pairs Trading
Social Science Research Network, 2022 The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article,
Marianna Brunetti, Roberta De Luca
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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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Bertram’s pairs trading strategy with bounded risk [PDF]
Central European Journal of Operations Research, 2021 Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit per unit of time. This model is generalized to the form where the riskiness of profit, measured by its per-time-unit
Vladimír Holý, Michal Černý
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