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Persistent link: https://www.econbiz.de/10015052825

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an … implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …

Persistent link: https://www.econbiz.de/10010259626

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 : open access journal 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/10011505854

Are individual stock returns predictable?

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Persistent link: https://www.econbiz.de/10012801601

Earnings information, arbitrage constraints, and the forecast dispersion anomaly

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Persistent link: https://www.econbiz.de/10012439091

Bewertung unbedingter börsenbehandelter Zins-Derivate und Analyse von Arbitrage-Gewinnmöglichkeiten mit Hilfe von Arbitrage-Signalen

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What explains the dynamics of 100 anomalies?

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Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

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Persistence of jump-induced tail risk and limits to arbitrage

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Quality acceleration and cross-sectional returns : empirical evidence

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