Author:
Nguyen Thi-Thu-Thuy,Ko Po-Chang,Li Ping-Chen,Shu Ming-Hung,Wu Yuh-Shiuan,Li Min-Zhi,Chen Wen-Hsien
Publisher
Springer International Publishing
Reference11 articles.
1. Gatey, E., Goetzmann, W.N., Rouwenhorst, K.G.: Pairs trading: performance of a relative-value arbitrage rule. Rev. Financial Stud. 19(3), 797–827 (2006)
2. Wang, J., Rostoker, C., Wagner, A.: A high performance pair trading application. In: 2009 IEEE International Symposium on Parallel & Distributed Processing (2009)
3. Law, K.F., Li, W.K., Philip, L.H.: A single-stage approach for cointegration-based pairs trading. Finance Res. Lett. 26, 177–184 (2018)
4. Chiu, M.C., Wong, H.Y.: Dynamic cointegrated pairs trading: mean-variance time-consistent strategies. J. Comput. Appl. Math. 290, 516–534 (2015)
5. Do, B., Faff, R.: Are pairs trading profits robust to trading costs. J. Financial Res. 35(2), 261–287 (2012)