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Quantitative Finance Volume 16, 2016 - Issue 10
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Research Papers

The profitability of pairs trading strategies: distance, cointegration and copula methods

Hossein RadUQ Business School, University of Queensland, Brisbane, 4072Australia.View further author information
,
Rand Kwong Yew LowUQ Business School, University of Queensland, Brisbane, 4072Australia.;Stern School of Business, New York University, New York, NY, 10012USA.Correspondence[email protected] [email protected]
View further author information
&
Robert FaffUQ Business School, University of Queensland, Brisbane, 4072Australia.View further author information
Pages 1541-1558 | Received 17 Sep 2015, Accepted 03 Mar 2016, Published online: 27 Apr 2016

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Erhard Reschenhofer & Thomas Sinkovics. (2017) Examining the profitability of automatic trading strategies with a focus on trend indicators. Quantitative Finance 17:7, pages 979-991.
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