We investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. (2006). We also provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions. Using data from the...

This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10 minutes throughout the trading day. We argue that this activity is the result of algorithmic trading influenced by human...

This paper uses multivariate Hawkes processes to model the transactions behavior of the U.S. stock market as proxied by the 30 Dow Jones Industrial Average stocks before, during and after the May 6, 2010 flash crash, which lasted 36 minutes. The basis for our analysis is the excitation matrix,...