INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES

Autor:	Emrah Sener, I. Ilkay Boduroğlu, Sayat R. Baronyan
Rok vydání:	2010
Předmět:	Economics and Econometrics Alternative trading system Financial economics Economics Equity (finance) Pairs trade Trading strategy Selection method Algorithmic trading Volatility (finance) computer.software_genre Empirical evidence computer
Zdroj:	The Manchester School. 78:114-134
ISSN:	1463-6786
DOI:	10.1111/j.1467-9957.2010.02204.x
Popis:	We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use 14 distinct market-neutral trading strategies, using the combination of seven trading methods and two selection methods of pairs trading.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::bdf9f1cc3ae14df464e0afd3f5556e9b https://doi.org/10.1111/j.1467-9957.2010.02204.x Zobrazit plný text záznamu Plný text ve formátu PDF