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Applied Economics Letters Volume 20, 2013 - Issue 14
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Original Articles

The high sensitivity of pairs trading returns

Nicolas Huck ICN Business School – CEREFIGE, 13 rue Michel Ney, 54037, Nancy Cedex, FranceCorrespondence[email protected]
Pages 1301-1304 | Published online: 02 Jul 2013

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Read on this site (7)

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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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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Andreas Mikkelsen. (2018) Pairs trading: the case of Norwegian seafood companies. Applied Economics 50:3, pages 303-318.
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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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Nicolas Huck. (2015) Pairs trading: does volatility timing matter?. Applied Economics 47:57, pages 6239-6256.
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Nicolas Huck & Komivi Afawubo. (2015) Pairs trading and selection methods: is cointegration superior?. Applied Economics 47:6, pages 599-613.
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Articles from other publishers (10)

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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Yingying Wang, Xiaodong Li, Pangjing Wu & Haoran Xie. 2023. Web and Big Data. Web and Big Data 399 407 .
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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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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Mehmet Bayram, Muzaffer Akat & Serol Bulkan. (2020) Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework. Journal of Intelligent & Fuzzy Systems 38:1, pages 697-707.
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Miroslav Fil & Ladislav Kristoufek. (2020) Pairs Trading in Cryptocurrency Markets. IEEE Access 8, pages 172644-172651.
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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. (2017) STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK. Journal of Economic Surveys 31:2, pages 513-545.
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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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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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