Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

In this paper we examine the effectiveness of modeling a paris-traded ETF portfolio as an Ornstein-Uhlenbeck process. Using ETF pairs that have similar references indexes, we apply maximum likelihood estimation to historical data in order to optimize trading signals for two strategies. Using...