Pairs trading with partial cointegration
Author:
Affiliation:
1. Independent, Los Angeles, CA, USA.
2. Department of Statistics and Econometrics, University of Erlangen-Nürnberg, Lange Gasse 20, D-90403Nürnberg, Germany.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1370122
Reference62 articles.
1. Statistical arbitrage in the US equities market
2. Threshold Cointegration
3. Analytic solutions for optimal statistical arbitrage trading
4. A Non-Stationary Model for Statistical Arbitrage Trading
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