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 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 78
  • Publication Date: 2010
  • Doi Number: 10.1111/j.1467-9957.2010.02204.x
  • Journal Name: MANCHESTER SCHOOL
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.114-134
  • Istanbul Technical University Affiliated: Yes

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.