Results 31 to 40 of about 3,181,879 (366)
Quantitative Finance, 2005 'Pairs Trading' is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical framework for such an investment strategy.
Elliott, R. +2 more
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Optimal pairs trading with dynamic mean-variance objective
Mathematical Methods of Operations Research, 2021 Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell relatively over-priced assets to exploit temporary mispricing.
D. Zhu +4 more
semanticscholar +1 more source
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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Pairs trading in cryptocurrency market: A long-short story
Investment Management & Financial Innovations, 2021 Pairs trading that is built on ’Relative-Value Arbitrage Rule’ is a popular short-term speculation strategy enabling traders to make profits from temporary mispricing of close substitutes.
Saji Thazhungal Govindan Nair
semanticscholar +1 more source
MISPRICINGS IN GLOBAL ENERGY MARKETS
Applied Finance Letters, 2022 Financial market participants can benefit from understanding how shocks affect equity mispricings. Energy corporates have been exposed to multiple structural changes over the past decades.
Isabel Figuerola-Ferretti +2 more
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, 2022 This thesis contributes to the literature on algorithm-based hedge fund strategies with new insights into pairs trading to further demystify the rule-based trading strategy. Thereby, I closely follow the popular trading approach of Gatev, Goetzmann, and Rouwenhorst (2006). After introducing the methodology, the return calculation, and previous academic
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Pairs trading techniques: An empirical contrast
European Research on Management and Business Economics, 2018 Pairs trading is one of the most commonly used market neutral strategies. Over the last few years, several hedge funds have used different ways to successfully implement this trading strategy.
Mario Carrasco Blázquez +2 more
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Pairs trading with the persistence-based decomposition model
Managerial Economics, 2020 Recently, the persistence-based decomposition (PBD) model has been introduced to the scientific community by Rende et al. (2019). It decomposes a spread time series between two securities into three components capturing infinite, finite, and no shock ...
Jonas Rende
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Revisiting the Copula-Based Trading Method Using the Laplace Marginal Distribution Function
Mathematics, 2022 Pairs trading under the copula approach is revisited in this paper. It is well known that financial returns arising from indices in markets may not follow the features of normal distribution and may exhibit asymmetry or fatter tails, in particular.
Tayyebeh Nadaf +2 more
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Trading strategies with copulas
Journal of Economic and Financial Sciences, 2013 A new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate copulas and
Yolanda Stander +2 more
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