The aim of this research is to develop a profitable high frequency pair trading strategy based on selected stocks of S&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1, 2010 - Dec 31, 2012. Empirical analysis presented in...

Selecting skilled mutual funds through the multiple testing framework has received increasing attention from finance researchers and statisticians. The intercept $\alpha$ of Carhart four-factor model is commonly used to measure the true performance of mutual funds, and positive $\alpha$'s are...

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing and lending interest rates. We find significant violations of the uncovered interest rate parity in the cryptocurrency market. The cross-sectional carry trade strategy yields an...

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing and lending interest rates. We find significant violations of the uncovered interest rate parity in the cryptocurrency market. The cross-sectional carry trade strategy yields an...