Premium
INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES
Author(s) -
BARONYAN SAYAT R.,
BODUROĞLU İ. İLKAY,
ŞENER EMRAH
Publication year - 2010
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/j.1467-9957.2010.02204.x
Subject(s) - pairs trade , trading strategy , algorithmic trading , equity (law) , economics , volatility (finance) , alternative trading system , financial economics , high frequency trading , econometrics , financial market , finance , political science , law
We investigate several market‐neutral trading strategies and find empirical evidence that market‐neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use 14 distinct market‐neutral trading strategies, using the combination of seven trading methods and two selection methods of pairs trading.