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Selection of a portfolio of pairs based on cointegration : a statistical arbitrage strategy

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Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection

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30 years of cointegration and dynamic factor models forecasting and its future with big data : editorial

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Special section : 30 years of cointegration and dynamic factor models

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Selection of a Portfolio of Pairs Based on Cointegration : A Statistical Arbitrage Strategy

Caldeira, João - 2013

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs trading strategies. In addition to...

Persistent link: https://www.econbiz.de/10013088962