Narrow search
Showing 1 - 10 of 17,210
Cover Image
Selection of a portfolio of pairs based on cointegration : a statistical arbitrage strategy
Caldeira, João F.; Moura, Guilherme Valle - In: Revista Brasileira de Finanças : RBFin 11 (2013) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10010436848
Cover Image
High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach
Miao, George J. - In: International journal of economics and finance 6 (2014) 3, pp. 96-110
Persistent link: https://www.econbiz.de/10010339601
Cover Image
Pre-selection in cointegration-based pairs trading
Brunetti, Marianna; De Luca, Roberta - 2021 - This version: February 2021
Persistent link: https://www.econbiz.de/10012489201
Cover Image
Pre-selection in cointegration-based pairs trading
Brunetti, Marianna; De Luca, Roberta - 2022
Persistent link: https://www.econbiz.de/10014248171
Cover Image
Pairs trading techniques : an empirical contrast
Carrasco Blázquez, Mario; Cruz, Ma del Carmen de la … - In: European research on management and business economics 24 (2018) 3, pp. 160-167
Persistent link: https://www.econbiz.de/10012051701
Cover Image
High-frequency pairs trading on a small stock exchange
Mikkelsen, Andreas; Kjærland, Frode - In: International journal of economics and financial issues … 8 (2018) 4, pp. 78-88
Persistent link: https://www.econbiz.de/10011979366
Cover Image
Cointegrated market-neutral strategy for basket trading
Yu, Philip L. H.; Lu, Renjie - In: International review of economics & finance : IREF 49 (2017), pp. 112-124
Persistent link: https://www.econbiz.de/10011748382
Cover Image
Pairs trading: is it applicable to exchange-traded funds?
Tokat, Ekin; Hayrullahoğlu, Ahmet Cevdet - In: Borsa Istanbul Review 22 (2022) 4, pp. 743-751
owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading …
Persistent link: https://www.econbiz.de/10013334849
Cover Image
Capital account liberalization and dynamic price discovery : evidence from Chinese cross-listed stocks
Chan, Marc K.; Kwok, Simon Sai Man - In: Applied economics 48 (2016) 4/6, pp. 517-535
Persistent link: https://www.econbiz.de/10011412942
Cover Image
Do firm characteristics affect price discovery? : evidence from Chinese cross-listed stocks
Lee, Yen-Sheng; Tseng, Yi-Heng - In: Economic review : journal of economics & business 19 (2021) 2, pp. 3-14
Stock Exchange and the Shanghai Stock Exchange or Shenzhen Stock Exchange in mainland China. We estimate the coefficients of … the literature on price discovery that the Hong Kong and mainland China financial markets are informationally linked. We …
Persistent link: https://www.econbiz.de/10014466459