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We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We propose an integrated approach, using copulas for pairs selection and trading. Essentially, we fit t-copulas to all possible combinations of pairs in a 12 month formation...
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In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an … implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …
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