Abstract
Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.
| Original language | English |
|---|---|
| Pages (from-to) | 83-95 |
| Number of pages | 13 |
| Journal | Financial Analysts Journal |
| Volume | 66 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2010 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 10 Reduced Inequalities
Keywords
- financial crisis
- pairs trading
- turbulence
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