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Andreas Mikkelsen,Frode Kjærland
Pág. 78 - 88
We study the performance of a high-frequency pairs trading strategy on the 100 most liq- uid stocks, in 15-minute intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset from January 2012 to March 2016...
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Johannes Stübinger,Jens Bredthauer
Pág. 650 - 662
In recent years, more sophisticated techniques for analyzing data and exponential increase in computing power allow high-frequency trading. This paper provides a detailed overview on pairs trading in the context of intraday data and applies different str...
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Julio Fernando Costa Santos,Marcelo de Sales Pessoa
Este artigo investiga o desempenho da estratégia de arbitragem estatística (Pairs Trading) utilizando os testes de cointegração para ações negociadas na Bovespa no período de 2003 a 2014. Foram testadas diferentes bandas de abertura, fechamento e stop. A...
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David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide and Herman K. Van Dijk
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Cüneyt Ungever
Pág. 25 - 38
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João Frois Caldeira,Gulherme Valle Moura
Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr...
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Fabio Pizzutilo
Pág. 763 - 771
We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding th...
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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA 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 cop...
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