Investigation of stochastic pairs trading strategies under different volatility regimes

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dc.authorscopusid36237363300
dc.authorscopusid15836690800
dc.authorscopusid36237692700
dc.contributor.authorBaronyan, S.R.
dc.contributor.authorBoduroğlu, İ. İlkay
dc.contributor.authorŞener, E.
dc.date.accessioned2022-05-11T14:15:46Z
dc.date.available2022-05-11T14:15:46Z
dc.date.issued2010
dc.departmentFakülteler, Çorlu Mühendislik Fakültesi, Bilgisayar Mühendisliği Bölümü
dc.description.abstractWe 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.
dc.identifier.doi10.1111/j.1467-9957.2010.02204.x
dc.identifier.endpage134
dc.identifier.issn1463-6786
dc.identifier.issueSUPPL. 1en_US
dc.identifier.scopus2-s2.0-77955249930
dc.identifier.scopusqualityQ3
dc.identifier.startpage114
dc.identifier.urihttps://doi.org/10.1111/j.1467-9957.2010.02204.x
dc.identifier.urihttps://hdl.handle.net/20.500.11776/6062
dc.identifier.volume78
dc.indekslendigikaynakScopus
dc.institutionauthorBoduroğlu, İ. İlkay
dc.language.isoen
dc.relation.ispartofManchester School
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.titleInvestigation of stochastic pairs trading strategies under different volatility regimes
dc.typeArticle

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