INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES

SAYAT R. BARONYAN · İ. İlkay Boduroğlu · Emrah Şener

22 citations0/0 files storedManchester School

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

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.

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2010Relativistic statistical arbitrage

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