Pairs Trading , Convergence Trading

@inproceedings{Herlemont2004PairsT,
  title={Pairs Trading , Convergence Trading},
  author={Daniel Herlemont},
  year={2004}
}
  • Daniel Herlemont
  • Published 2004
2 Pairs Trading Model 5 2.1 Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Testing for the mean reversion . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.3 Screening Pairs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.4 Trading rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.5 Risk control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 2.6 Risks… CONTINUE READING