Profitability of pairs trading strategy in an illiquid market with multiple share classes-Reference-Cited by-同舟云学术

Profitability of pairs trading strategy in an illiquid market with multiple share classes

Published:2012-12 Issue:5 Volume:22 Page:1188-1201
ISSN:1042-4431
Container-title:Journal of International Financial Markets, Institutions and Money
language:en
Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Broussard John Paul,Vaihekoski Mika

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference13 articles.

1. Andrade, S., di Pietro, V., Seasholes, M., 2005. Understanding the Profitability of Pairs Trading, Working paper, University of California Berkeley, and Northwestern University.

2. KOP:s och UNITAS’ generalindex för Helsingfors fondbörs i ljuset av ett nytt värdevägt index;Berglund;Finnish Journal of Business Economics,1983

3. Efficiency and the bear: short-sales and markets around the world;Bris;The Journal of Finance,2007

4. The evolution of securities lending;Burke,1997

5. Does simply pairs trading still work?;Do;Financial Analysts Journal,2010

Cited by 34 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Predicting earnings per share using feature-engineered extreme gradient boosting models and constructing alpha trading strategies;International Journal of Information Technology;2023-10-09

2. Exploring arbitrage opportunities between China's carbon markets based on statistical arbitrage pairs trading strategy;Environmental Impact Assessment Review;2023-03

3. A pairs trading strategy based on mixed copulas;The Quarterly Review of Economics and Finance;2023-02

4. Pairs trading strategy based on Copula-GARCH model;4TH INTERNATIONAL SCIENTIFIC CONFERENCE OF ALKAFEEL UNIVERSITY (ISCKU 2022);2023

5. Analysis of performance of the pairs trading strategy using public sector enterprises stocks;RECENT ADVANCES IN SCIENCES, ENGINEERING, INFORMATION TECHNOLOGY & MANAGEMENT;2023