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Original Articles

Pairs trading and selection methods: is cointegration superior?

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Tim Leung & Kevin W. Lu. (2023) Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework. Applied Mathematical Finance 30:4, pages 207-230.
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Ghazi Al-Naymat, Mouhammd Al-Kasassbeh & Zyad Sober. (2020) Pairs trading strategy: a recommendation system. International Journal of Computers and Applications 42:8, pages 787-797.
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S. Endres & J. Stübinger. (2019) Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes. Applied Economics 51:29, pages 3153-3169.
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Johannes Stübinger. (2019) Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500. Quantitative Finance 19:6, pages 921-935.
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Zhe Huang & Franck Martin. (2019) Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor. Applied Economics 51:22, pages 2436-2452.
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Boming Huang, Yuxiang Huan, Li Da Xu, Lirong Zheng & Zhuo Zou. (2019) Automated trading systems statistical and machine learning methods and hardware implementation: a survey. Enterprise Information Systems 13:1, pages 132-144.
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Andreas Mikkelsen. (2018) Pairs trading: the case of Norwegian seafood companies. Applied Economics 50:3, pages 303-318.
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Matthew Clegg & Christopher Krauss. (2018) Pairs trading with partial cointegration. Quantitative Finance 18:1, pages 121-138.
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Christopher Krauss & Johannes Stübinger. (2017) Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100. Applied Economics 49:52, pages 5352-5369.
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Ahmet Göncü & Erdinc Akyildirim. (2016) A stochastic model for commodity pairs trading. Quantitative Finance 16:12, pages 1843-1857.
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Hossein Rad, Rand Kwong Yew Low & Robert Faff. (2016) The profitability of pairs trading strategies: distance, cointegration and copula methods. Quantitative Finance 16:10, pages 1541-1558.
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Nicolas Huck. (2015) Pairs trading: does volatility timing matter?. Applied Economics 47:57, pages 6239-6256.
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Po-Chang Ko, Ping-Chen Lin, Hoang-Thu Do, Yuan-Heng Kuo, Linh My Mai & You-Fu Huang. Pairs trading in cryptocurrency markets: A comparative study of statistical methods. Investment Analysts Journal 0:0, pages 1-18.
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Fredi Šarić, Stjepan Begušić, Andro Merćep & Zvonko Kostanjčar. (2024) Statistical arbitrage portfolio construction based on preference relations. Expert Systems with Applications 238, pages 121906.
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Yen-Wu Ti, Tian-Shyr Dai, Kuan-Lun Wang, Hao-Han Chang & You-Jia Sun. (2024) Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters. Computational Economics.
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Boming Ning & Kiseop Lee. (2024) Advanced Statistical Arbitrage with Reinforcement Learning. SSRN Electronic Journal.
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Marianna Brunetti & Roberta De Luca. (2023) Pre-selection in cointegration-based pairs trading. Statistical Methods & Applications 32:5, pages 1611-1640.
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Erdinc Akyildirim, Ahmet Goncu, Alper Hekimoglu, Duc Khuong Nguyen & Ahmet Sensoy. (2023) Statistical arbitrage: factor investing approach. OR Spectrum 45:4, pages 1295-1331.
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Chulwoo Han, Zhaodong He & Alenson Jun Wei Toh. (2023) Pairs trading via unsupervised learning. European Journal of Operational Research 307:2, pages 929-947.
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Kiseop Lee, Tim Leung & Boming Ning. (2023) A Diversification Framework for Multiple Pairs Trading Strategies. Risks 11:5, pages 93.
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Yun Xiang, Yonghong Zhao & Shijie Deng. (2023) Asset-return momentum prediction through pattern recognition. Knowledge-Based Systems 268, pages 110443.
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Boqiang Lin & Zhizhou Tan. (2023) Exploring arbitrage opportunities between China's carbon markets based on statistical arbitrage pairs trading strategy. Environmental Impact Assessment Review 99, pages 107041.
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Marianna Brunetti & Roberta De Luca. (2023) Pairs trading in the index options market. Eurasian Economic Review 13:1, pages 145-173.
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Niklas Paluszkiewicz. (2023) From Pixels to Profits: Trading Arbitrage Portfolios Based on Image Representations. SSRN Electronic Journal.
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Raktim Roychoudhury, Rahul Bhagtani & Aditya Daftari. (2023) Pairs Trading Using Clustering and Deep Reinforcement Learning. SSRN Electronic Journal.
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Arun Gautam & Ruchi Goyal. Analysis of performance of the pairs trading strategy using public sector enterprises stocks. Analysis of performance of the pairs trading strategy using public sector enterprises stocks.
GholamReza Keshavarz Haddad & Hassan Talebi. (2021) The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange. International Journal of Finance & Economics 28:1, pages 193-207.
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Anmol Agarwal, Ankit Ankit, Deepak Kumar Meena & Rohit Beniwal. (2022) Comparative Study on Pairs Trading Using Machine Learning Algorithms. Comparative Study on Pairs Trading Using Machine Learning Algorithms.
Yiwen Gong, Mingtao Zhang & Xiaoyuan Zhang. (2022) The feasibility of arbitrage between TESLA and cryptocurrency. BCP Business & Management 26, pages 794-803.
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Wei-Lun Kuo, Wei-Che Chang, Tian-Shyr Dai, Ying-Ping Chen & Hao-Han Chang. (2022) Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance. IEEE Access 10, pages 97030-97046.
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Andrea Flori & Daniele Regoli. (2021) Revealing Pairs-trading opportunities with long short-term memory networks. European Journal of Operational Research 295:2, pages 772-791.
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Deepti Patole, Ishika Gupta, Priyam Jain, Vansh Gupta & Yash Gada. (2021) Controlled Risk Pairs Trading using ReinforcementLearning. Controlled Risk Pairs Trading using ReinforcementLearning.
Shuang Liang, Siyuan Lu, Jun Lin & Zhongfeng Wang. (2021) Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading. IEEE Transactions on Circuits and Systems I: Regular Papers 68:7, pages 2911-2924.
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Lizi Zhang. (2021) Pair Trading with Machine Learning Strategy in China Stock Market. Pair Trading with Machine Learning Strategy in China Stock Market.
Victor Chang, Xiaowen Man, Qianwen Xu & Ching‐Hsien Hsu. (2020) Pairs trading on different portfolios based on machine learning. Expert Systems 38:3.
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Geetu Aggarwal & Navdeep Aggarwal. (2020) Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market. Asia-Pacific Financial Markets 28:1, pages 79-99.
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An-Sing Chen & Che-Ming Yang. (2021) Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio. PLOS ONE 16:1, pages e0244541.
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Andrea Flori & Daniele Regoli. 2021. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 217 222 .
Simão Moraes Sarmento & Nuno HortaSimão Moraes Sarmento & Nuno Horta. 2021. A Machine Learning based Pairs Trading Investment Strategy. A Machine Learning based Pairs Trading Investment Strategy 51 74 .
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ALEXANDER LIPTON & MARCOS LÓPEZ DE PRADO. (2021) A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES. International Journal of Theoretical and Applied Finance 23:08, pages 2050056.
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Simão Moraes Sarmento & Nuno Horta. (2020) Enhancing a Pairs Trading strategy with the application of Machine Learning. Expert Systems with Applications 158, pages 113490.
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Shuang Liang, Siyuan Lu, Jun Lin & Zhongfeng Wang. (2020) Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading. Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading.
M.A. Sánchez-Granero, K.A. Balladares, J.P. Ramos-Requena & J.E. Trinidad-Segovia. (2020) Testing the efficient market hypothesis in Latin American stock markets. Physica A: Statistical Mechanics and its Applications 540, pages 123082.
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Miroslav Fil & Ladislav Kristoufek. (2020) Pairs Trading in Cryptocurrency Markets. IEEE Access 8, pages 172644-172651.
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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 41 86 .
Danni Chen, Jing Cui, Yan Gao & Leilei Wu. (2018) Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach. Accounting & Finance 57:5, pages 1237-1264.
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Yurun Yang, Ahmet Goncu & Athanasios Pantelous. (2017) Pairs trading with commodity futures: evidence from the Chinese market. China Finance Review International 7:3, pages 274-294.
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Christopher Krauss. (2016) STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK. Journal of Economic Surveys 31:2, pages 513-545.
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Saeid Fallahpour, Hasan Hakimian, Khalil Taheri & Ehsan Ramezanifar. (2016) Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach. Soft Computing 20:12, pages 5051-5066.
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Zouheir Mighri & Faysal Mansouri. (2015) Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach. Empirical Economics 51:3, pages 1115-1149.
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JIA MIAO & JASON LAWS. (2016) PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT. International Journal of Theoretical and Applied Finance 19:04, pages 1650023.
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Ahmet Göncü & Erdinç Akyıldırım. (2016) Statistical Arbitrage with Pairs Trading. International Review of Finance 16:2, pages 307-319.
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Ioannis Papantonis. (2016) Cointegration-based trading: evidence on index tracking & market-neutral strategies. Managerial Finance 42:5, pages 449-471.
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Zhaodong He, Chulwoo Han & Alenson Jun Wei Toh. (2021) Pairs Trading via Unsupervised Learning. SSRN Electronic Journal.
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Marianna Brunetti & Roberta De Luca. (2020) Pre-Selection Methods for Cointegration-Based Pairs Trading. SSRN Electronic Journal.
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Alex Lipton & Marcos López de Prado. (2020) A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies. SSRN Electronic Journal.
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Yurun Yang, Ahmet Goncu & Athanasios A. Pantelous. (2016) Pairs Trading with Commodity Futures: Evidence from the Chinese Market. SSRN Electronic Journal.
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Hossein Rad, Rand Kwong Yew Low & Robert W. Faff. (2015) The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods. SSRN Electronic Journal.
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