Multivariate Pair Trading by Volatility & Model Adaption Trade-off

Chenyanzi Yu and Tianyang Xie

Papers from arXiv.org

Abstract: Pair trading is one of the most discussed topics among financial researches. Despite a growing base of work, portfolio management for multivariate time series is rarely discussed. On the other hand, most researches focus on refining strategy rules instead of finding the optimal portfolio weight. In this paper, we brought up a simple yet profitable strategy called Volatility & Model Adaption Trade-off (VMAT) to leverage the issues. Experiment studies show its superior profit performance over baselines.

Date: 2021-06
New Economics Papers: this item is included in nep-cwa and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2106.09132

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