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Applied Economics Volume 49, 2017 - Issue 52
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Original Articles

Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100

Christopher KraussDepartment of Statistics and Econometrics, University of Erlangen-Nürnberg, Nürnberg, GermanyCorrespondence[email protected]
&
Johannes StübingerDepartment of Statistics and Econometrics, University of Erlangen-Nürnberg, Nürnberg, Germany
Pages 5352-5369 | Published online: 04 Apr 2017

Citations (17)

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Read on this site (8)

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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Adrian Fernandez-Perez, Bart Frijns, Ivan Indriawan & Yiuman Tse. (2020) Pairs trading of Chinese and international commodities. Applied Economics 52:48, pages 5203-5217.
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Sylvia Endres & Johannes Stübinger. (2019) A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. Quantitative Finance 19:10, pages 1727-1740.
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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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Julian Knoll, Johannes Stübinger & Michael Grottke. (2019) Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500. Quantitative Finance 19:4, pages 571-585.
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Johannes Stübinger, Benedikt Mangold & Christopher Krauss. (2018) Statistical arbitrage with vine copulas. Quantitative Finance 18:11, pages 1831-1849.
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Johannes Stübinger & Sylvia Endres. (2018) Pairs trading with a mean-reverting jump–diffusion model on high-frequency data. Quantitative Finance 18:10, pages 1735-1751.
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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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Articles from other publishers (9)

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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А.О. Шульженко. (2024) Copula-based deviation measure of cointegrated financial assets. Modern Economy Success:2, pages 84-92.
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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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Kasper Johansson, Thomas Schmelzer & Stephen Boyd. (2024) Finding Moving-Band Statistical Arbitrages Convex-Concave Optimization. SSRN Electronic Journal.
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Fernando A.B. Sabino da Silva, Flavio A. Ziegelmann & João F. Caldeira. (2023) A pairs trading strategy based on mixed copulas. The Quarterly Review of Economics and Finance 87, pages 16-34.
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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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Fernando Caneo & Werner Kristjanpoller. (2020) Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets. International Journal of Finance & Economics 26:3, pages 4424-4440.
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Gaurang Bansal, Vikas Hasija, Vinay Chamola, Neeraj Kumar & Mohsen Guizani. (2019) Smart Stock Exchange Market: A Secure Predictive Decentralized Model. Smart Stock Exchange Market: A Secure Predictive Decentralized Model.
Fernando B. S. da Silva, Fllvio Ziegelman & Jooo Caldeira. (2017) Performance of Pairs Trading on the S&P 500: Distance and Mixed Copula Models. SSRN Electronic Journal.
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