The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article, we perform a sensitivity analysis of the...

Pairs trading is hardly applied to high-dimensionality datasets. The first step for its implementation, required to identify co-moving assets and usually based on cointegration-tests, comes with a remarkable computational burden. This paper compares seven different preselection measures that,...

Using rich Italian data for the period 2006-2014, we document sizeable gaps between native and immigrant households with respect to wealth holdings and financial decisions. Immigrant household heads hold less net wealth than native, but only above the median of the wealth distribution, with...