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677
Investor Protection and Corporate Governance
, 1999
"... Recent research on corporate governance has documented large differences between countries in ownership concentration in publicly traded firms, in the breadth and depth of financial markets, and in the access of firms to external finance. We suggest that there is a common element to the explanations ..."
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Cited by 590 (11 self)
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the consequences of these differences, and suggest potential strategies of reform of corporate governance. We argue that the legal approach is a more fruitful way to understand corporate governance and its reform than the conventional distinction between bank-centered and market-centered financial systems.
Pairs Trading with Copulas
, 2014
"... Pairs trading is a well-acknowledged speculative investment strategy, with the distance method the most commonly implemented such strategy. However, this approach, is able to fully describe the dependency structure between stocks only under the assumption of multivariate normal returns. In this rese ..."
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. In this research, we propose a new pairs trading strategy to generalize the conventional pairs trading strategy by using the copula modeling technique. Copulas allow separate estimation of the marginal distributions of stock returns and their joint dependency structure, and thus can provide sound estimation
Pairs trading: performance of a relative-value arbitrage
- Review of Financial Studies
"... We test a Wall Street investment strategy, ‘‘pairs trading,’ ’ with daily data over 1962–2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11 % for self-financing portfolios of pairs ..."
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Cited by 45 (0 self)
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link the profitability to the presence of a common factor in the returns, different from conventional risk measures. Wall Street has long been interested in quantitative methods of speculation. One popular short-term speculation strategy is known as ‘‘pairs trading.’ ’ The strategy has at least a 20
Pairs Trading: Performance of a Relative Value Arbitrage
, 1999
"... We test a Wall Street investment strategy, “pairs trading, ” with daily data over 1962-2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11 percent for self-financing portfolios of p ..."
Abstract
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Cited by 33 (2 self)
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We test a Wall Street investment strategy, “pairs trading, ” with daily data over 1962-2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11 percent for self-financing portfolios
Pairs trading
, 2005
"... ‘Pairs Trading ’ is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical fra ..."
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‘Pairs Trading ’ is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical
Bottom-up computation of sparse and Iceberg CUBE
- In Proceedings of the 5th ACM international workshop on Data Warehousing and OLAP, DOLAP ’02
, 1999
"... We introduce the Iceberg-CUBE problem as a reformulation of the datacube (CUBE) problem. The Iceberg-CUBE problem is to compute only those group-by partitions with an aggregate value (e.g., count) above some minimum support threshold. The result of Iceberg-CUBE can be used (1) to answer group-by que ..."
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Cited by 187 (4 self)
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-by queries with a clause such as HAVING COUNT(*)> = X, where X is greater than the threshold, (2) for mining multidimensional association rules, and (3) to complement existing strategies for identifying interesting subsets of the CUBE for precomputation. We present a new algorithm (BUC) for Iceberg
Machine Learning in Pairs Trading Strategies
"... Pairs trading consists of long position in one financial product and short position in another product and we focus the form of statistical arbitrage instead of trend following; these strategies are market neutral and have low risk. ..."
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Pairs trading consists of long position in one financial product and short position in another product and we focus the form of statistical arbitrage instead of trend following; these strategies are market neutral and have low risk.
Trading model with pair pattern strategies
"... A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ 2, the price impact H and the predictability K for both models, with linear and square root impact functions. The sum of the traders ’ wealth display ..."
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A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ 2, the price impact H and the predictability K for both models, with linear and square root impact functions. The sum of the traders ’ wealth
PROFITABILITY OF PAIRS TRADING STRATEGY IN FINLAND
, 2010
"... Work in process. Comments welcome. ..."
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