scientific article; zbMATH DE number 7028653

DOI10.3969/J.ISSN.1000-2375.2018.04.001MaRDI QIDQ4624434zbMATH OpenFDO

Authors Lei Yin, Chong Yu

Publication date 22 February 2019

Full work available at URL https://doi.org/10.3969/J.ISSN.1000-2375.2018.04.001

zbMATH Keywords

cointegrationcorrelation coefficientmean reversionpairs trading

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(7)

• Statistical arbitrage for multiple co-integrated stocks
• Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
• Pairs trading strategy of ETF based on mixture copula
• Pairs trading with partial cointegration
• A novel pairs trading model with mean reversion and coefficient of variance
• Pairs trading with partial cointegration
• Investigation of multivariate pairs trading under copula approach with mixture distribution

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