INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES


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

MANCHESTER SCHOOL, cilt.78, ss.114-134, 2010 (SSCI İndekslerine Giren Dergi) identifier identifier

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.