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

Journal of International Financial Markets, Institutions and Money

Volumn 22, Issue 5, 2012, Pages 1188-1201

  Broussard, John Paul ^a   Vaihekoski, Mika ^b  

^a RUTGERS UNIVERSITY   (United States)

^b UNIVERSITY OF TURKU   (Finland)

Author keywords

Finland; Long Short; OMXH; Pairs trading; Statistical arbitrage

Indexed keywords

EID: 84864046560     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2012.06.002     Document Type: Article

References (13)

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