-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform …

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 … cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …

risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one …. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …