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High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds
9 references·9 citing·47 second hop
High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds (2004)High Frequency Pairs Trading with U.S. Tr…Handbook of Fixed‐Income Securities (2016)Handbook of Fixed‐Income Secu…The bond/old-bond spread (2002)The bond/old-bond spreadA Universal Performance Measure (2002)A Universal Performance Measu…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingPairs 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…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…The Treasury Yield Curve as a Cointegrated System (1992)The Treasury Yield Curve as a…The Handbook of Fixed Income Securities (1983)The Handbook of Fixed Income …Optimizing the Pairs‐Trading Strategy Using Deep Reinforcement Learning with Trading and Stop‐Loss Boundaries (2019)Optimizing the Pairs‐Trading …Pairs trading with partial cointegration (2017)Pairs trading with partial co…A Signal Processing Perspective on Financial Engineering (2016)A Signal Processing Perspecti…Pairs trading: optimal thresholds and profitability (2014)Pairs trading: optimal thresh…Pairs trading in the UK equity market: risk and return (2014)Pairs trading in the UK equit…Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities (2013)Statistical Arbitrage and Hig…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…Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique (2010)Finding the Optimal Pre-Set B…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Interest Rate Risk Management (1997)Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? (2001)Fundamentals, Trader Activity and Derivative Pricing (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Evaluation of pairs-trading strategy at the Brazilian financial market (2009)What explains the dynamics of 100 anomalies? (2015)The profitability of pairs trading strategies: distance, cointegration and copula methods (2016)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Econometrics of Financial Markets (2012)High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach (2014)Enhancing a Pairs Trading strategy with the application of Machine Learning (2020)Asset pricing and the bid-ask spread (1986)The Limits of Arbitrage (1995)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Chapter 15 Anomalies and market efficiency (2003)Valuation in Over-the-Counter Markets (2007)Limits of Arbitrage (2010)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Estimating the components of the bid/ask spread (1988)The Behavior of Stock Prices Around Institutional Trades (1995)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Are Momentum Profits Robust to Trading Costs? (2004)Pricing the commonality across alternative measures of liquidity (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Loss protection in pairs trading through minimum profit bounds: A cointegration approach (2006)Comovement After Joining an Index: Spillovers of Nonfundamental Effects (2007)Public Information, IPO Price Formation, and Long‐Run Returns: Japanese Evidence (2009)Liquidity, default, taxes, and yields on municipal bonds (2007)The on-the-run liquidity phenomenon (2009)Do Country-level Investor Protections Affect Security-level Contract Design? Evidence from Foreign Bond Covenants (2011)Portfolio optimization with return prediction using deep learning and machine learning (2020)Frameworks and Results in Distributionally Robust Optimization (2022)Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Numerical Valuation of High Dimensional Multivariate American Securities (1995)An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility (2008)
this work references cited by second hop

References

  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 2002A Universal Performance Measure590 cited
  • 2002The bond/old-bond spread514 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 2016Handbook of Fixed‐Income Securities407 cited
  • 1998Pairs Trading: Performance of a Relative Value Arbitrage Rule203 cited
  • 1983The Handbook of Fixed Income Securities193 cited
  • 1999Pairs Trading: Performance of a Relative Value Arbitrage Rule87 cited
  • 1992The Treasury Yield Curve as a Cointegrated System77 cited

Cited by

  • 2013Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy69 cited
  • 2017Pairs trading with partial cointegration62 cited
  • 2016A Signal Processing Perspective on Financial Engineering59 cited
  • 2014Pairs trading: optimal thresholds and profitability53 cited
  • 2013Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities52 cited
  • 2014Pairs trading in the UK equity market: risk and return50 cited
  • 2019

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Optimizing the Pairs‐Trading Strategy Using Deep Reinforcement Learning with Trading and Stop‐Loss Boundaries
49 cited
  • 2013Seleção de uma Carteira de Pares de Ações Usando Cointegração: Uma Estratégia de Arbitragem Estatística32 cited
  • 2010Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique27 cited