Pairs trading with partial cointegration

DOI10.1080/14697688.2017.1370122MaRDI QIDQ4554413zbMATH OpenOpenAlexFDO

Authors Matthew Clegg, Christopher Krauss

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/140632

zbMATH Keywords

cointegrationpairs tradingstatistical arbitragepartial cointegrationquantitative strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A pairs trading strategy based on linear state space models and the Kalman filter
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Commodity derivatives pricing with cointegration and stochastic covariances
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Empirical properties of asset returns: stylized facts and statistical issues
• Fractional differencing
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• Pairs trading
• Pairs trading based on statistical variability of the spread process
• Statistical analysis of cointegration vectors
• Statistical arbitrage in the US equities market
• Term structure of interest rates and the expectation hypothesis: The Euro area
• Testing for a unit root in time series regression
• Threshold Autoregression with a Unit Root
• Threshold Cointegration
• Time series analysis by state space methods.

Cited in

(12)

• Statistical arbitrage with vine copulas
• scientific article; zbMATH DE number 7028653 (Why is no real title available?)
• scientific article; zbMATH DE number 7514018 (Why is no real title available?)
• Pairs trading under delayed cointegration
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• Loss protection in pairs trading through minimum profit bounds: A cointegration approach
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Pairs trading with wavelet transform
• Revealing pairs-trading opportunities with long short-term memory networks
• Deep learning with long short-term memory networks for financial market predictions
• Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy

Describes a project that uses

Uses Software

• itsmr
• PerformanceAnalytics
• R

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