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Investigation of stochastic pairs trading strategies under different volatility regimes
(2010) Baronyan, S.R.; Boduroğlu, İ. İlkay; Şener, E.
We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use 14 distinct market-neutral trading strategies, using the combination of seven trading methods and two selection methods of pairs trading. © 2010 The Authors. Journal compilation © 2010 Blackwell Publishing Ltd and The University of Manchester.