Investigation of stochastic pairs trading strategies under different volatility regimes

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Küçük Resim

Tarih

2010

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Dergi ISSN

Cilt Başlığı

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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.

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Anahtar Kelimeler

Kaynak

Manchester School

WoS Q Değeri

Scopus Q Değeri

Q3

Cilt

78

Sayı

SUPPL. 1

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