• Corpus ID: 156958302

Statistical arbitrage pairs : can cointegration capture market neutral profits?

@inproceedings{Hoel2013StatisticalAP,
  title={Statistical arbitrage pairs : can cointegration capture market neutral profits?},
  author={Christoffer Haakon Hoel},
  year={2013}
}
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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A New Approach to Modeling and Estimation for Pairs Trading
Pairs trading is an speculative investment strategy based on relative mispricing between a pair of stocks. Essentially, the strategy involves choosing a pair of stocks that historically move
Understanding the Profitability of Pairs Trading
This paper links uninformed demand shocks with the profits and risks of pairs trading. Usually employed by sophisticated investors, pairs trading is a relative value strategy that simultaneously buys
Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies
TLDR
Evidence is found that momentum and value trading strategies constitute statistical arbitrage opportunities, despite controlling for transaction costs and the influence of small stocks, and their profitability does not appear to decline over time.
An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity
"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
Loss protection in pairs trading through minimum profit bounds: A cointegration approach
TLDR
This paper uses cointegration principles to develop a procedure that embeds a minimum profit condition within a pairs trading strategy and shows that, at reasonable minimum profit levels, the protocol does not greatly reduce trade numbers or absolute profits relative to an unprotected trading strategy.
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
Better Hedge Ratios for Spread Trading
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).
High-Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution, and Patterns in Returns
This article examines the characteristics of high-frequency pairs trading using a sample of FTSE100 constituent stocks for the period January to December 2007. The authors show that the excess
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
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