Pairs trading strategies in a cointegration framework : back-tested on CFD and optimized by profit factor
Zhe Huang and Franck Martin
| Year of publication: |
2019
|
|---|---|
| Authors: | Huang, Zhe ; Martin, Franck |
| Subject: | back-testing | Bollinger bands | cointegration | GARCH Model | Pairs trading | profit factor | Kointegration | Cointegration | ARCH-Modell | ARCH model | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Rentabilität | Profitability |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2018.1545080 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012196704