Pairs trading is a popular dollar-neutral trading strategy. This article, using the components of the S&P 500 index, explores the performance of a pairs trading system based on various pairs selection methods. Whereas large empirical applications in the literature focus on the distance method,...

Pairs trading is a popular quantitative speculation strategy. This article proposes a general and flexible framework for pairs selection. The method uses multiple return forecasts based on bivariate information sets and multi-criteria decision techniques. Our approach can be seen as a sort of...

Pairs trading is a popular speculation strategy. Several implementation methods are proposed in the literature: they can be based on a distance criterion or on co-integration. This article extends previous research in another direction: the combination of forecasting techniques (Neural Networks)...

Pairs trading is a simple and popular relative value trading strategy. This article deals with the most common implementation of the method based on a distance criterion. It demonstrates the high sensitivity of the return to changes in the length of the formation period and shows that a...

The paper focuses on the conditions of the use of the nearest neighbors method analysing the impact of the Euclidean distance and in sample predictions, the choice of the neighbors, the number of neighbors and the distance between the neighbors.

This multidisciplinary article uses the works of Mesly from 1999 to 2013 to develop a mathematical model of financial predation to determine whether financial predators can be detected before they commit substantial fraud. Previous works by the author have shown that financial predators follow...