Pairs trading and selection methods: is cointegration superior?

Applied Economics

Volumn 47, Issue 6, 2015, Pages 599-613

  Huck, Nicolas ^a   Afawubo, Komivi ^a,b  

^a UNIVERSITÉ DE LORRAINE   (France)

^b University of Lorraine – CEREFIGE ^*  (France)

Author keywords

cointegration; distance; pairs trading; stationarity; trading rules

Indexed keywords

COINTEGRATION ANALYSIS; ECONOMETRICS; NUMERICAL MODEL; STOCK MARKET; STRATEGIC APPROACH; TRADE PERFORMANCE; TRADE RELATIONS;

EID: 84914708413     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036846.2014.975417     Document Type: Article

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