• Corpus ID: 156958302

Statistical arbitrage pairs : can cointegration capture market neutral profits?

  title={Statistical arbitrage pairs : can cointegration capture market neutral profits?},
  author={Christoffer Haakon Hoel},
Dynamic ETF Pairs Trading System. Evidence From Australia
This study evaluates the profitability of dynamic pairs trading strategies using a proposed 3-step pairs selection approach. We extend the pairs trading methodology employed by Miao (2014) to the


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"Pairs trading" involves taking a bet that the price paths of two stocks that have historically moved together will converge again after any divergence. Consistent with the view that profits to pairs
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Pairs trading
‘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
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This note discusses the calculation of hedge ratios for spread trading. It suggests that using total least squares (TLS) is superior to the normally-used technique of ordinary least squares (OLS).
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Does Simple Pairs Trading Still Work?
Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent