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Loss protection in pairs trading through minimum profit bounds: A cointegration approach
7 references·14 citing·40 second hop
Loss protection in pairs trading through minimum profit bounds: A cointegration approach (2006)Loss protection in pairs trading through …Hedge Funds: Myths and Limits (2002)Hedge Funds: Myths and LimitsWhen genius failed: the rise and fall of Long-Term Capital Management (2001)When genius failed: the rise …Explaining Cointegration Analysis: Part II (2001)Explaining Cointegration Anal…Pairs Trading: Performance of a Relative Value Arbitrage Rule (1999)Pairs Trading: Performance of…Pairs Trading: Performance of a Relative Value Arbitrage Rule (1998)Pairs Trading: Performance of…Using Cointegration Analysis in Econometric Modelling (1995)Using Cointegration Analysis …Investment Analysis and Portfolio Management. 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this work references cited by second hop

References

  • 1979Investment Analysis and Portfolio Management.985 cited
  • 1995Using Cointegration Analysis in Econometric Modelling873 cited
  • 2001When genius failed: the rise and fall of Long-Term Capital Management713 cited
  • 2001Explaining Cointegration Analysis: Part II552 cited
  • 1998Pairs Trading: Performance of a Relative Value Arbitrage Rule203 cited
  • 2002Hedge Funds: Myths and Limits105 cited
  • 1999Pairs Trading: Performance of a Relative Value Arbitrage Rule87 cited

Cited by

  • 2013Pairs trading: A copula approach71 cited
  • 2011Quantitative Spread Trading on Crude Oil and Refined Products Markets63 cited
  • 2010Relativistic statistical arbitrage61 cited
  • 2016A Signal Processing Perspective on Financial Engineering59 cited
  • 2014High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach56 cited
  • 2014Pairs trading: optimal thresholds and profitability53 cited
  • 2013Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities52 cited
  • 2009Dynamic modeling of mean-reverting spreads for statistical arbitrage

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49 cited
  • 2019Optimizing the Pairs‐Trading Strategy Using Deep Reinforcement Learning with Trading and Stop‐Loss Boundaries49 cited
  • 2016Intraday pairs trading strategies on high frequency data: the case of oil companies45 cited
  • 2010Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique27 cited
  • 2016A stochastic model for commodity pairs trading26 cited
  • 2020Some Notes on the Formation of a Pair in Pairs Trading25 cited
  • 2018Overview and History of Statistics for Equity Markets22 cited