Cointegration-based trading: evidence on index tracking & market-neutral strategies
Year of publication: |
2016
|
---|---|
Authors: | Papantonis, Ioannis |
Other Persons: | N. Biktimirov, Ernest (ed.) |
Published in: |
Managerial Finance. - Emerald Group Publishing Limited, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 42.2016, 5, p. 449-471
|
Publisher: |
Emerald Group Publishing Limited |
Subject: | Market efficiency | Tracking error | Cointegration pairs-trading | Index tracking | Market-neutral strategies | Statistical arbitrage |
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