Publication: Investigation of stochastic pairs trading strategies under different volatility regimes
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Type
article
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restrictedAccess
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published
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
2010-09
Publisher
Blackwell
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