FANDOM


Equity

  • Cartea, A. and Jaimungal, S. Algorithmic Trading of Co-Integrated Assets (2015). SSRN
  • Clegg, M. On the Persistence of Cointegration in Pairs Trading (2014). SSRN
  • Xie, W. et. al. Pairs Trading with Copulas (2014). SSRN
  • Bowen, D. and Hutchinson, M. Pairs Trading in the UK Equity Market: Risk and Return (2013). SSRN
  • Caldeira, J. and Moura, G. Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013). SSRN
  • Diamond, R. Learning and Trusting Cointegration in Statistical Arbitrage (2013). SSRN
  • Xie, W. and Wu, Y. Copula-Based Pairs Trading Strategy (2013). SSRN
  • Lucey, M. and Walshe, D. European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return (2012). SSRN
  • Do, B. and Faff, R. Does Simple Pairs Trading Still Work? (2010) SSRN
  • Chen, H., Chen, S. and Li, F. Empirical Investigation of an Equity Pairs Trading Strategy (2009). SSRN
  • Bock, M. and Mestel, R. A Regime-Switching Relative Value Arbitrage Rule (2008). SSRN
  • Perlin, M. M of a Kind: A Multivariate Approach at Pairs Trading (2007). SSRN
  • Gatev, E., Goetzmann, W. and Rouwenhorst, K. Pairs Trading: Performance of a Relative Value Arbitrage Rule (2006). SSRN

Futures

  • Kanamura, T., Rachev, S. and Fabozzi, F. The Application of Pairs Trading to Energy Futures Markets (2008). Link
  • Evans B., Dunis, Christian L. and Laws, J. Trading Futures Spreads: An Application of Correlation (2004). Link

ETFs

  • Sipila, M. Algorithmic Pairs Trading: Empirical Investigation of Exchange Traded Funds (2013). Link
  • Schizas, P., Thomakos, Dimitrios D. and Wang, T. Pairs Trading on International ETFs (2011). SSRN

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