Selection of a portfolio of pairs based on cointegration : a statistical arbitrage strategy
João Frois Caldeira; Guilherme Valle Moura
| Alternative title: | Seleção de uma carteira de pares de Ações usando cointegração |
|---|---|
| Year of publication: |
2013
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| Authors: | Caldeira, João F. ; Moura, Guilherme Valle |
| Subject: | statistical arbitrage | pairs trading | cointegration | market neutral strategy | Arbitrage | Portfolio-Management | Portfolio selection | Kointegration | Cointegration | Theorie | Theory | Wertpapierhandel | Securities trading | Kapitalanlage | Financial investment | Anlageverhalten | Behavioural finance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zsfassung in portug. Sprache Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010436848