The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange-Reference-Cited by-同舟云学术

The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange

Published:2021-01-02 Issue: Volume: Page:
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Keshavarz Haddad GholamReza¹^ORCID,Talebi Hassan¹^ORCID

Affiliation:

1. Sharif University of Technology Tehran Iran

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2415

Reference27 articles.

1. Caldeira J.&Moura G. V.(2013).Selection of a portfolio of pairs based on cointegration: A statistical arbitrage strategy.https://doi.org/10.2139/ssrn.2196391

2. Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models

3. Does Simple Pairs Trading Still Work?

4. ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?

5. Do B. Faff R.&Hamza K.(2006).A new approach to modeling and estimation for pairs trading. Proceedings of 2006 Financial Management Association European Conference. Citeseer pp. 87–99. Retrieved fromhttp://www.finanzaonline.com/forum/attachments/econometria‐e‐modelli‐di‐trading‐operativo/1048428d1238757908‐spread‐e‐pair‐trading‐pairstradingbinhdo.pdf

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