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Does Simple Pairs Trading Still Work?
10 references·16 citing·48 second hopsampled
Does Simple Pairs Trading Still Work? (2010)Does Simple Pairs Trading Still Work?What Happened to the Quants in August 2007? (2007)What Happened to the Quants i…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Synchronization risk and delayed arbitrage (2002)Synchronization risk and dela…Limited Arbitrage in Equity Markets (2002)Limited Arbitrage in Equity M…Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)Convergence trading with weal…Trend Function Hypothesis Testing in the Presence of Serial Correlation (1998)Trend Function Hypothesis Tes…Industry costs of equity (1997)Industry costs of equityReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Pairs Trading in Cryptocurrency Markets (2020)Pairs Trading in Cryptocurren…Enhancing a Pairs Trading strategy with the application of Machine Learning (2020)Enhancing a Pairs Trading str…Testing the efficient market hypothesis in Latin American stock markets (2019)Testing the efficient market …Optimizing the Pairs‐Trading Strategy Using Deep Reinforcement Learning with Trading and Stop‐Loss Boundaries (2019)Optimizing the Pairs‐Trading …Trading financial indices with reinforcement learning agents (2018)Trading financial indices wit…Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (2018)Pairs trading with a mean-rev…Automated trading systems statistical and machine learning methods and hardware implementation: a survey (2018)Automated trading systems sta…Pairs trading with partial cointegration (2017)Pairs trading with partial co…The profitability of pairs trading strategies: distance, cointegration and copula methods (2016)The profitability of pairs tr…STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)STATISTICAL ARBITRAGE PAIRS T…On the determinants of pairs trading profitability (2015)On the determinants of pairs …Pairs trading in the UK equity market: risk and return (2014)Pairs trading in the UK equit…Pairs trading and selection methods: is cointegration superior? (2014)Pairs trading and selection m…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…ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS? (2012)ARE PAIRS TRADING PROFITS ROB…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Econometrics of Financial Markets (1997)Power Laws in Economics and Finance (2008)Hedge fund leverage (2011)The Econometrics of Financial Markets (2012)Can hedge funds time market liquidity? (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion (2005)The Accrual Anomaly: Risk or Mispricing? (2011)Macroeconomics with Financial Frictions: A Survey (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The General Theory of Employment, Interest and Money. (1936)Anomalies and Market Efficiency (2002)Chapter 15 Anomalies and market efficiency (2003)Learning by Trading (2009)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)What does futures market interest tell us about the macroeconomy and asset prices? (2012)Financialization in commodity markets: A passing trend or the new normal? (2015)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing for a Unit Root in a Time Series With a Changing Mean (1990)Investigating the Behavior of Idiosyncratic Volatility* (2003)Testing for Shifts in Trend With an Integrated or Stationary Noise Component (2009)The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On Persistence in Mutual Fund Performance (1997)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Cryptocurrency trading: a comprehensive survey (2022)Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs (2006)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Conditional risk premia in currency markets and other asset classes (2014)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1997Industry costs of equity5,793 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2002Synchronization risk and delayed arbitrage551 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2002Limited Arbitrage in Equity Markets411 cited
  • 2007What Happened to the Quants in August 2007?306 cited
  • 1998Trend Function Hypothesis Testing in the Presence of Serial Correlation302 cited
  • 2001Convergence trading with wealth effects: an amplification mechanism in financial markets282 cited

Cited by

  • 2016STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK219 cited
  • 2016The profitability of pairs trading strategies: distance, cointegration and copula methods161 cited
  • 2018Automated trading systems statistical and machine learning methods and hardware implementation: a survey140 cited
  • 2012ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?135 cited
  • 2018Trading financial indices with reinforcement learning agents

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117 cited
  • 2014Pairs trading and selection methods: is cointegration superior?103 cited
  • 2015On the determinants of pairs trading profitability88 cited
  • 2013Pairs trading: A copula approach71 cited
  • 2017Pairs trading with partial cointegration62 cited
  • 2020Enhancing a Pairs Trading strategy with the application of Machine Learning62 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
  • 2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data49 cited
  • 2019Optimizing the Pairs‐Trading Strategy Using Deep Reinforcement Learning with Trading and Stop‐Loss Boundaries49 cited
  • 2020Pairs Trading in Cryptocurrency Markets47 cited