INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES


Baronyan S. R. , Boduroglu I. I. , Sener E.

MANCHESTER SCHOOL, vol.78, pp.114-134, 2010 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 78
  • Publication Date: 2010
  • Doi Number: 10.1111/j.1467-9957.2010.02204.x
  • Title of Journal : MANCHESTER SCHOOL
  • Page Numbers: pp.114-134

Abstract

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.