INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES

Sayat R. Baronyan, I. Boduroglu () and Emrah Şener

Manchester School, 2010, vol. 78, issue s1, 114-134

Abstract: 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.

Date: 2010
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https://doi.org/10.1111/j.1467-9957.2010.02204.x

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