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...

Stock market prediction has always caught the attention of many analysts and researchers. Popular theories suggest that stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a challenging problem in itself because of the number...

Firm-level monthly short interest is positively and significantly related to the returns of firms that compete in the same product markets. This finding is robust to standard controls and cannot be explained by industry momentum, industry lead-lag relationships, or industry information spillover...