Investigation of stochastic pairs trading strategies under different volatility regimes
Yükleniyor...
Dosyalar
Tarih
2010
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Kaynak
Manchester School
WoS Q Değeri
Scopus Q Değeri
Q3
Cilt
78
Sayı
SUPPL. 1
