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Evaluation of pairs-trading strategy at the Brazilian financial market
7 references·13 citing·45 second hop
Evaluation of pairs-trading strategy at the Brazilian financial market (2009)Evaluation of pairs-trading strategy at t…Can Markov Switching Models Predict Excess Foreign Exchange Returns? (2006)Can Markov Switching Models P…Pairs Trading: Quantitative Methods and Analysis (2004)Pairs Trading: Quantitative M…Pairs Trading: Performance of a Relative Value Arbitrage Rule (1998)Pairs Trading: Performance of…A brief history of market efficiency (1998)A brief history of market eff…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIStock returns and the weekend effect (1980)Stock returns and the weekend…Multiagent-based deep reinforcement learning for risk-shifting portfolio management (2022)Multiagent-based deep reinfor…Some Notes on the Formation of a Pair in Pairs Trading (2020)Some Notes on the Formation o…Testing the efficient market hypothesis in Latin American stock markets (2019)Testing the efficient market …Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance (2019)Optimal Mean-Reverting Portfo…Mean-Reverting Portfolio With Budget Constraint (2018)Mean-Reverting Portfolio With…A pairs trading strategy based on linear state space models and the Kalman filter (2016)A pairs trading strategy base…Costly arbitrage through pairs trading (2015)Costly arbitrage through pair…Pairs trading in the UK equity market: risk and return (2014)Pairs trading in the UK equit…High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach (2014)High Frequency and Dynamic Pa…Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013)Selection of a Portfolio of P…Seleção de uma Carteira de Pares de Ações Usando Cointegração: Uma Estratégia de Arbitragem Estatística (2013)Seleção de uma Carteira de Pa…Pairs trading: A copula approach (2013)Pairs trading: A copula appro…Profitability of pairs trading strategy in an illiquid market with multiple share classes (2012)Profitability of pairs tradin…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (2018)Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Econometrics of Financial Markets (1997)The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2006)Leveraged carry trade portfolios (2008)Dynamic risk exposures in hedge funds (2010)The Econometrics of Financial Markets (2012)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)An Introduction to Copulas (1999)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Copula Modeling: An Introduction for Practitioners (2007)Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100 (2017)Statistical arbitrage with vine copulas (2018)Pairs Trading in Cryptocurrency Markets (2020)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Timing Ability in the Focus Market of Hedge Funds (2005)What explains the dynamics of 100 anomalies? (2015)The profitability of pairs trading strategies: distance, cointegration and copula methods (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Enhancing a Pairs Trading strategy with the application of Machine Learning (2020)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Herding in the German Mutual Fund Industry (2006)Information Efficiency and Firm-Specific Return Variation (2014)Climate Change and Asset Prices: Are Corporate Carbon Disclosure and Performance Priced Appropriately? (2016)Pairs trading (2005)Modelling and measuring price discovery in commodity markets (2010)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 2004Pairs Trading: Quantitative Methods and Analysis345 cited
  • 1998A brief history of market efficiency220 cited
  • 1998Pairs Trading: Performance of a Relative Value Arbitrage Rule203 cited
  • 2006Can Markov Switching Models Predict Excess Foreign Exchange Returns?118 cited

Cited by

  • 2013Pairs trading: A copula approach71 cited
  • 2013Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy69 cited
  • 2014High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach56 cited
  • 2012Profitability of pairs trading strategy in an illiquid market with multiple share classes55 cited
  • 2019Testing the efficient market hypothesis in Latin American stock markets53 cited
  • 2014Pairs trading in the UK equity market: risk and return50 cited
  • 2022Multiagent-based deep reinforcement learning for risk-shifting portfolio management47 cited
  • 2019Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance

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41 cited
  • 2018Mean-Reverting Portfolio With Budget Constraint39 cited
  • 2015Costly arbitrage through pairs trading38 cited
  • 2013Seleção de uma Carteira de Pares de Ações Usando Cointegração: Uma Estratégia de Arbitragem Estatística32 cited
  • 2016A pairs trading strategy based on linear state space models and the Kalman filter31 cited
  • 2020Some Notes on the Formation of a Pair in Pairs Trading25 cited