Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/116783 
Autor:innen: 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
IWQW Discussion Papers No. 09/2015
Verlag: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Nürnberg
Zusammenfassung: 
This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies involving two or more securities. The available research is categorized into five groups: The distance approach uses nonparametric distance metrics to identify pairs trading opportunities. The cointegration approach relies on formal cointegration testing to unveil stationary spread time series. The time series approach focuses on finding optimal trading rules for mean-reverting spreads. The stochastic control approach aims at identifying optimal portfolio holdings in the legs of a pairs trade relative to other available securities. The category "other approaches" contains further relevant pairs trading frameworks with only a limited set of supporting literature. Drawing from this large set of research consisting of more than 90 papers, an in-depth assessment of each approach is performed, ultimately revealing strengths and weaknesses relevant for further research and for implementation.
Schlagwörter: 
statistical arbitrage
pairs trading
spread trading
relative-value arbitrage
meanreversion
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
454.16 kB





Publikationen in EconStor sind urheberrechtlich geschützt.