STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK-Reference-Cited by-同舟云学术

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STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK

Published:2016-05-09 Issue:2 Volume:31 Page:513-545
ISSN:0950-0804
Container-title:Journal of Economic Surveys
language:en
Short-container-title:Journal of Economic Surveys

Author:

Krauss Christopher¹

Affiliation:

1. Department of Statistics and Econometrics; University of Erlangen-Nürnberg

Publisher

Wiley

Subject

Economics and Econometrics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/joes.12153/fullpdf

Reference120 articles.

1. Optimal hedging using cointegration;Alexander;Philosophical Transactions: Mathematical, Physical and Engineering Sciences,1999

2. Indexing and statistical arbitrage;Alexander;The Journal of Portfolio Management,2005

3. Andrade , S. Di Pietro , V. Seasholes , M. 2005 Understanding the profitability of pairs trading

4. Value and momentum everywhere;Asness;Journal of Finance,2013

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