|
|
|
|
|
Thomas Günter Fischer, Christopher Krauss and Alexander Deinert
|
|
|
|
|
|
|
|
|
|
|
|
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...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yetti Afrida Indra
Pág. 233 - 240
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting sto...
ver más
|
|
|
|
|
|
|
|
|
|
|
Paula Andrea Soto,Juan Carlos Ruilova Teran
Pág. 537 - 568
|
|
|
|
|
|
|
|
|
|
|
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...
ver más
|
|
|
|
|
|
|
|
|
|
|
Luis San Vicente Portes, Vidya Atal
The Economist magazine has been publishing the Big Mac Index using it as a rule of thumb to determine the over- or under-valuation of international currencies based on the theory of Purchasing Power Parity since 1986. According to the theory, using the B...
ver más
|
|
|
|
|
|
|
|
|
|
|
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...
ver más
|
|
|
|
|
|
|
|
|
|
|
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...
ver más
|
|
|
|
|
|
|
|
|
|
|
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...
ver más
|
|
|
|
|
|