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The Profitability of Pairs Trading Strategies : Distance, Cointegration, and Copula Methods

Rad, Hossein - 2016

, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the … cointegration and copula methods, we design a computationally efficient 2-step pairs trading strategy. In terms of economic outcomes …, the distance, cointegration, and copula methods show a mean monthly excess return of 91, 85, and 43 bps (38, 33, and 5 bps …

Persistent link: https://www.econbiz.de/10013004622

On the Persistence of Cointegration in Pairs Trading

Clegg, Matthew - 2014

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a … 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a …

Persistent link: https://www.econbiz.de/10013048017

Are public and private asset returns and risks the same? : evidence from real estate data

Hoesli, Martin; Oikarinen, Elias - 2013

This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...

Persistent link: https://www.econbiz.de/10010256953

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

Persistent link: https://www.econbiz.de/10009558452

Algorithmic Trading of Co-Integrated Assets

Cartea, Álvaro - 2016

given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of … be affine in the co-integration factor. We calibrate the model to three assets traded on the Nasdaq exchange (Google …

Persistent link: https://www.econbiz.de/10013004099

Sensitivity of Profitability in Cointegration-Based Pairs Trading

Brunetti, Marianna; De Luca, Roberta - 2022

The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article, we perform a sensitivity analysis of the...

Persistent link: https://www.econbiz.de/10013292639

Can ETFs afect U.S. fnancial stability? : A quantile cointegration analysis

Laborda, Juan; Laborda, Ricardo; Cruz, Javier de la - In: Financial innovation : FIN 10 (2024), pp. 1-24

cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …

Persistent link: https://www.econbiz.de/10014540299

Inflation hegding and listed stock in Zimbabwe : a non-linear approach

Magweva, R.; Mbudaya, Justine - In: African journal of business and economic research : AJBER 16 (2021) 1, pp. 123-142

Persistent link: https://www.econbiz.de/10012815249

An international capital asset pricing model with heterogeneous expectations

Koutmos, Dimitrios - In: Journal of international financial markets, … 22 (2012) 5, pp. 1176-1187

Persistent link: https://www.econbiz.de/10010220191

Location-scale portfolio selection with factor-recentered skew normal asset returns

Gan, Quan - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 176-187

This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...

Persistent link: https://www.econbiz.de/10011077507