SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
9 references·16 citing·32 second hop
Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of a Relative-…The market for borrowing stock (2002)The market for borrowing stockShort-sale constraints and stock returns (2002)Short-sale constraints and st…Breadth of ownership and stock returns (2002)Breadth of ownership and stoc…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Cryptocurrency trading: a comprehensive survey (2022)Cryptocurrency trading: a com…Stock market forecasting using a multi-task approach integrating long short-term memory and the random forest framework (2021)Stock market forecasting usin…Portfolio formation with preselection using deep learning from long-term financial data (2019)Portfolio formation with pres…Material Signals: A Historical Sociology of High-Frequency Trading (2018)Material Signals: A Historica…Automated trading systems statistical and machine learning methods and hardware implementation: a survey (2018)Automated trading systems sta…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…Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Deep neural networks, gradien…What explains the dynamics of 100 anomalies? (2015)What explains the dynamics of…Industries and Stock Return Reversals (2014)Industries and Stock Return R…Technical trading revisited: False discoveries, persistence tests, and transaction costs (2012)Technical trading revisited: …Does Simple Pairs Trading Still Work? (2010)Does Simple Pairs Trading Sti…Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Role of Managerial Incentives…Analyst Disagreement, Mispricing, and Liquidity* (2007)Analyst Disagreement, Mispric…Flows, Performance, and Managerial Incentives in Hedge Funds (2003)Flows, Performance, and Manag…Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)Convergence trading with weal…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)A five-factor asset pricing model (2014)Ensemble approach based on bagging, boosting and stacking for short-term prediction in agribusiness time series (2019)Literature review: Machine learning techniques applied to financial market prediction (2019)Deep learning for financial applications : A survey (2020)Efficient Capital Markets: II (1991)The Limits of Arbitrage (1995)DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Short-Sale Strategies and Return Predictability (2008)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Illiquidity and stock returns: cross-section and time-series effects (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)Bad Beta, Good Beta (2004)Short interest, institutional ownership, and stock returns (2005)Which Shorts Are Informed? (2007)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 2002The market for borrowing stock1,161 cited
  • 2002Short-sale constraints and stock returns899 cited

Cited by

  • 2016Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500749 cited
  • 2009Role of Managerial Incentives and Discretion in Hedge Fund Performance687 cited
  • 2022Cryptocurrency trading: a comprehensive survey421 cited
  • 2007Analyst Disagreement, Mispricing, and Liquidity*337 cited
  • 2001Convergence trading with wealth effects: an amplification mechanism in financial markets282 cited
  • 2012Technical trading revisited: False discoveries, persistence tests, and transaction costs

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

252 cited
  • 2010Does Simple Pairs Trading Still Work?243 cited
  • 2016STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK219 cited
  • 2019Portfolio formation with preselection using deep learning from long-term financial data219 cited
  • 2015What explains the dynamics of 100 anomalies?168 cited
  • 2016The profitability of pairs trading strategies: distance, cointegration and copula methods161 cited
  • 2021Stock market forecasting using a multi-task approach integrating long short-term memory and the random forest framework150 cited
  • 2018Material Signals: A Historical Sociology of High-Frequency Trading148 cited
  • 2003Flows, Performance, and Managerial Incentives in Hedge Funds144 cited
  • 2014Industries and Stock Return Reversals140 cited
  • 2018Automated trading systems statistical and machine learning methods and hardware implementation: a survey140 cited