Investigation of stochastic pairs trading strategies under different volatility regimes

Baronyan, S.; Boduroğlu, İ. İ.; Şener, Emrah

dc.contributor.author	Baronyan, S.
dc.contributor.author	Boduroğlu, İ. İ.
dc.contributor.author	Şener, Emrah
dc.date.accessioned	2011-08-16T06:35:32Z
dc.date.available	2011-08-16T06:35:32Z
dc.date.issued	2010-09
dc.identifier.issn	1463-6786
dc.identifier.uri	http://hdl.handle.net/10679/157
dc.identifier.uri	http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9957.2010.02204.x/abstract
dc.description	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
dc.description.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	en_US
dc.language.iso	eng	en_US
dc.publisher	Blackwell	en_US
dc.relation.ispartof	Manchester School
dc.rights	restrictedAccess
dc.title	Investigation of stochastic pairs trading strategies under different volatility regimes	en_US
dc.type	Article	en_US
dc.peerreviewed	yes	en_US
dc.publicationstatus	published	en_US
dc.contributor.department	Özyeğin University
dc.contributor.authorID	(ORCID & YÖK ID 201658) Şener, Emrah
dc.contributor.ozuauthor	Şener, Emrah
dc.identifier.volume	78
dc.identifier.issue	supplement s1
dc.identifier.startpage	114
dc.identifier.endpage	134
dc.identifier.wos	WOS:000280665900005
dc.identifier.doi	10.1111/j.1467-9957.2010.02204.x
dc.subject.keywords	Securities markets	en_US
dc.subject.keywords	Stock exchanges	en_US
dc.subject.keywords	Securities industry	en_US
dc.subject.keywords	Global financial crisis, 2008-2009	en_US
dc.subject.keywords	Equity	en_US
dc.identifier.scopus	SCOPUS:2-s2.0-77955249930
dc.contributor.authorMale	1