Does Simple Pairs Trading Still Work?

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

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Year of publication:	2012
Authors:	Do, Binh Huu
Other Persons:	Faff, Robert W. (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Financial Analysts Journal, Vol. 66, No. 4, pp. 83-95, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2010 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013115818