INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES

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. Copyright © 2010 The Authors. Journal compilation © 2010 Blackwell Publishing Ltd and The University of Manchester.

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Year of publication:	2010
Authors:	BARONYAN, SAYAT R. ; Idot ; . ; Idot ; BODURO, LKAY ; Gbreve ; LU ; EMRAH ; Scedil ; ENER
Published in:	Manchester School. - School of Economics, ISSN 1463-6786. - Vol. 78.2010, s1, p. 114-134
Publisher:	School of Economics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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