Picking up the pennies in front of the bulldozer: The profitability of gilt based trading strategies-Reference-Cited by-同舟云学术

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Picking up the pennies in front of the bulldozer: The profitability of gilt based trading strategies

Published:2018-12 Issue: Volume:27 Page:214-222
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Quinn Barry^ORCID,Hanna Alan,MacDonald Fred

Publisher

Elsevier BV

Subject

Finance

Reference21 articles.

1. Pairs trading in the land down under;Bogomolov,2011

2. High frequency equity pairs trading: transaction costs, speed of execution and patterns in returns;Bowen;J. Trading,2010

3. The treasury yield curve as a cointegrated system;Bradley;J. Financial Quant. Anal.,1992

4. Caldeira, J. and Moura, G.V. (2013) “Selection of a portfolio of pairs based on cointegration: Aa statistical arbitrage strategy”, Available at SSRN 2196391.

5. Cointegration and tests of present value models;Campbell;J. Political Economy,1987

Cited by 1 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. Selecting stock pairs for pairs trading while incorporating lead–lag relationship;Physica A: Statistical Mechanics and its Applications;2020-08

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