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Investigation of stochastic pairs trading strategies under different volatility regimes

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dc.contributor.authorBaronyan, S.
dc.contributor.authorBoduroğlu, İ. İ.
dc.contributor.authorŞener, Emrah
dc.contributor.departmentBusiness Administration
dc.contributor.ozuauthorŞENER, Emrah
dc.date.accessioned2011-08-16T06:35:32Z
dc.date.available2011-08-16T06:35:32Z
dc.date.issued2010-09
dc.descriptionDue to copyright restrictions, the access to the full text of this article is only available via subscription.
dc.description.abstractWe 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 tradingen_US
dc.identifier.doi10.1111/j.1467-9957.2010.02204.x
dc.identifier.endpage134
dc.identifier.issn1463-6786
dc.identifier.issuesupplement s1
dc.identifier.scopus2-s2.0-77955249930
dc.identifier.startpage114
dc.identifier.urihttp://hdl.handle.net/10679/157
dc.identifier.urihttps://doi.org/10.1111/j.1467-9957.2010.02204.x
dc.identifier.volume78
dc.identifier.wos000280665900005
dc.language.isoengen_US
dc.peerreviewedyesen_US
dc.publicationstatuspublisheden_US
dc.publisherBlackwellen_US
dc.relation.ispartofManchester School
dc.rightsrestrictedAccess
dc.subject.keywordsSecurities marketsen_US
dc.subject.keywordsStock exchangesen_US
dc.subject.keywordsSecurities industryen_US
dc.subject.keywordsGlobal financial crisis, 2008-2009en_US
dc.subject.keywordsEquityen_US
dc.titleInvestigation of stochastic pairs trading strategies under different volatility regimesen_US
dc.typearticleen_US
dspace.entity.typePublication
relation.isOrgUnitOfPublication3920f480-c8c2-457c-8c42-5e73823c300f
relation.isOrgUnitOfPublication.latestForDiscovery3920f480-c8c2-457c-8c42-5e73823c300f

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