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INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2008Statistical Arbitrage in the U.S. Equities Market375 cited
  • 2004Pairs Trading: Quantitative Methods and Analysis345 cited
  • 2005Pairs trading295 cited
  • 2004Technical Analysis and Liquidity Provision140 cited

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  • 2009Evaluation of pairs-trading strategy at the Brazilian financial market113 cited
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    • 2010Relativistic statistical arbitrage61 cited