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Statistical arbitrage pairs trading strategies : review and outlook

Krauss, Christopher - 2015

This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies …

Persistent link: https://www.econbiz.de/10011312752

Fundamental analysis, institutional investment, and limits to arbitrage

Xue, Yanfeng; Zhang, May H. - In: Journal of business finance & accounting : JBFA 38 (2011) 9/10, pp. 1156-1183

Persistent link: https://www.econbiz.de/10009419327

Market liquidity and exposure of hedge funds

Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011

Persistent link: https://www.econbiz.de/10009720730

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

Pairs trading with partial cointegration

Clegg, Matthew; Krauss, Christopher - 2016

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random walk and a mean-reverting component. We derive its representation in state space, provide a maximum likelihood based estimation routine, and a suitable likelihood ratio test....

Persistent link: https://www.econbiz.de/10011458302