PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT

DOI10.1142/S0219024916500230zbMath1396.91698OpenAlexW2341687251MaRDI QIDQ2814671

Jia Miao, Jason Laws

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500230

zbMATH Keywords

equity hedgemarket neutral strategyprice convergence and divergencerelative value strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique

This page was built for publication: PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT