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

Author:

Keshavarz Haddad GholamReza1ORCID,Talebi Hassan1ORCID

Affiliation:

1. Sharif University of Technology Tehran Iran

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

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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1. An Entropic Approach for Pair Trading in PSX;Entropy;2023-03-13

2. Are Pair Trading Strategies Profitable During COVID-19 Period?;Journal of Information & Knowledge Management;2022-04-29

3. Analysis and Modeling of Price Changes on the Exchange Market Based on Structural Market Data;2021 IEEE 8th International Conference on Problems of Infocommunications, Science and Technology (PIC S&T);2021-10-05

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