Cointegrationpairtrading

由 J Yu 著作 · 2022 — The conventional pairs trading strategy of cointegration approach em- ploys a fixed cointegration coefficient, limiting the length of the applicable trad- ing ...

由 MC Chiu 著作 · 2015 · 被引用 45 次 — Cointegrated pairs trading is a trading strategy which attempts to take a profit when cointegrated assets depart from their equilibrium. This paper investigates ...

The analysis concludes that cointegration is the most efficient method of structuring a pairs trading strategy. Keywords: Pairs trading. Market neutral. Mean ...

2021年10月25日 — Basically, if we have two time series and it is possible to construct a linear combination of them that is stationary (has constant mean and ...

由 M Brunetti 著作 · 2023 · 被引用 1 次 — The idea behind pairs trading strategy is rather simple and consists of identifying pairs of assets whose prices share a common stochastic trend ...

由 C Krauss 著作 · 被引用 237 次 — ✤ Cointegration approach. ✤ In the formation period, cointegration tests are applied to identify comoving securities. ✤ The majority of trading signals based ...

由 DP Palomar 著作 · 被引用 1 次 — Cointegration test: test whether the identified stock pairs are indeed cointegrated or not. Trading strategy design: study the spread dynamics and design proper ...

由 Y Wang 著作 — This post covers the basic concepts of cointegration for pairs trading, cointegrated pairs' simulation, and the most used cointegration tests.

2022年8月29日 — Pairs Trading is a trading strategy that matches a long position in one stock/asset with an offsetting position in another stock/asset that is ...