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Bayesian analysis
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pairs trading
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statistical arbitrage
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David
;
Gatarek, Lukasz T.
;
Hoogerheide, Lennart
; …
- In:
Econometrics
4
(
2016
)
1
,
pp. 1-19
risk and return of two pairs trading strategies: a conditional
statistical
arbitrage
method and an implicit arbitrage one …
Persistent link: https://www.econbiz.de/10011755321
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